Cheat: Play as Skeleton Zeke:
To play as Skeleton Zeke, press and hold down the following button combos when the game's "legal screen" appears (the one with all the copyrights, etc): A+B+X+Y.

Cheat List:
During gameplay, press and hold RIGHT, then press the following buttons to activate the corresponding effect:
Invincibility: B, X, X, X, B, X, Y, A.
Level Select: X, X, B, Y, Y, B, X, A.
Upgrade Weapon: B, B, Y, Y, X, X, X, A.

Cheat: Play as Invisible Zeke:
To play as Invisible Zeke, press and hold down the following button combos when the game's "legal screen" appears (the one with all the copyrights, etc): A+B+L+R.

Hint: Health Restoration:
Save and quit your game. Then load your saved game, and you'll begin at the save point with full health.