Round Select:
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.
Invicibility:
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.