If you fail at the Bonus Rounds (levels 2 & 4), it takes a life away from you, but will not give you game over and allow you to continue on. You can use this to your advantage.
Either in the first or third level, allow yourself to lose all but your very last life, and then beat the level. Lose the following bonus intentionally. Your lives will say zero, but you can die over and over again and never get a game over! This is handy for the very difficult final stage.
Contributed By: Rishou.
Easy level skip
At any stage of the game, press Pause and then press Up and Down on the d-pad.
Contributed By: Drakan.
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