After defeating Madhatter his hat will fall. Blow it up for an extra life.
At any time during a level, press pause and do this code. B, A, down, B, A, down, left, up, C
That will take you to the next level.
If you are getting to the bosses with only a few lives left, you might want to try this. Press Start on Controller 2 kill off the boss using Controller 2. This way you have a character with all his lives.