On the Title Screen, press CNTRL I: R R L L U D L D D D. The music will start over from the beginning. Press Y to move to New Game; press Y again and you will see a Round Select Option. You can choose any round and even go straight to the bosses.
When you first turn on the SNES, wait for the Title Screen to appear and then press L L R R D U R U U U. Go to the Options Screen and turn the No Damage option on.