After beating the game 3 times, when the word "Congratulations" appears, press A on the second controller and a hidden message will appear.
Pause the game, then press A 16 times and for one more time for each level. For example, you must press A on first level 17 times, and 21 times on fifth level. This works only for the first run.
Beat the game up to 4 times in a row to see each time a different short ending message. It also varies if you reach the end with the second player.
Unplug the Zapper and plug the second controller. Now, on the player section screen press and hold Left+Up+B+A on controller 2. If done right, the sound test should appear. Press A+B to quit the soundtest.