Hold Start, press ↑ ↑ ↓ ↓ ← → ← → L1 R1 (on PS2 pad – map keys accordingly) Unlocks: Level select, mission select, harder difficulty, infinite continues, sound test. 9. Better Alternatives to the PC Port If you find Anthology too glitchy:

↑ ↓ ↑ ↓ ← → ← → ← → ← → (hold) 1 + 2 (Start + Select)

Hold Start, press ↑ ↑ ↓ ↓ ← → ← → ↑ → ↓ ← → (release Start)