Save a lot of time and skip most of stage 3 by doing the following when you reach the begining of that stage. At the start of Stage 3 jump on top of the first building after the elevators and instead of going right fall off the left side and then hold to the right. If you perform this correctly you will move into an invisible cut-out area of the wall that lets you avoid doing the majority of the stage.

For expert level, press up, a and b at the same time and at the title screen. You should then hear a sound to indicate the cheat has activated. Press start to begin your game.