At the Main title screen press start and go to Password and enter the following codes to unlock the corresponding Episode.

Unlock Episode 2
Wanda/Vicky/Country Boy/Cosmo/The Bronze Knee Cap

Unlock Episode 3 - Levels 1 & 2
Cosmo/Cosmo/Cosmo/Cosmo/Cosmo

Unlock Episode 3: Spatula Woman
Wanda/Country Boy/Wanda/Crimson Chin/Crimson Chin

Unlock Episode 4: Bronze Knee Cap
Bronze Knee Cap, Wanda, Country Boy, Bronze Knee Cap, Spatula Lady

Unlock Episode 5: Back to the comic book
Crimson Chin, Country Boy, Country Boy, Crimson Chin, Cosmo

Unlock Episode 5-2: Country Boy
Spatula Lady, Bronze Knee Cap, Crimson Chin, County Boy, Timmy

Unlock Episode 5-3: Spatula Lady
Vicky, Country Boy, Wanda, Country Boy, Vicky

Unlock Episode 5-4: Bronze Knee Cap
Spatula Lady, Bronze Knee Cap, Spatula Lady, Bronze Knee Cap, Wanda

Unlock Finale - Hidden Stage
Crimson Chin/Country Boy/Cosmo/Country Boy/Crimson Chin