While playing, press START to pause, then press L, Y, B, B, A, X, Y, Y, B, R and resume play.
You'll notice that whenever you lose a life, you'll see that
your total life reserve counter seems to be stuck at "9."
This is because the counter only goes up to 9, but you really
have 99 lives in reserve.
Begin a normal game, then hit Start to pause. Press L, X, A, Y, Y, B, R. Press Start to resume playing and you'll skip to the next stage. You can repeat this code as often as you like.