Level Select
Reset the NES three times during the Title Screen, then press Up, Up, Down, Down, Up, Down, B, A on Controller 2.

Level Select with 99 Continues
Intentionally lose the game and wait until the Title Screen appears after the Game Over Screen. Then, press Up, Up, Down, Down, Up, Down, B, A, Start on Controller 1 and then press B on controller 2. Press Up or Down to select an new level and press B on Controller 2 to begin game play.