Kid Chameleon

Skip to last level:
Hold Down then hold B + C. Release Down, but keep the other buttons held then press Down/Right and you will be sent to the last level.
Information in this section was contributed by Mike F..

Skip to Plethora:
Go to the end of the Blue Lake Woods 2 level, but do not touch the flag. Stand on the last prize block, hold the Jump + Special Weapons buttons, then press Down/Right.

5,000 bonus points:
Complete any level without collecting any special items. Alternately, complete any level without getting hurt.
Information in this section was contributed by broncofam.

10,000 bonus points:
Complete the first level in under 20 seconds.
Information in this section was contributed by kiantotorres.