This is a great little trick to get you as many lives in the game as you want. All you have to do is complete the 1st level on the right and then re-enter it and keep running until you find a shell. When you find one throw it onto the hill above it and run after it and it will kill a lot of Koopa which will give you an extra life. When you press 'Start' you will be given the option to go back into the 1st level and repeat the process.

At the game selection screen where you pick between Super Mario World and Mario Brothers a Star will appear above Mario Brothers for each 150,000 points you get in the game. You can get a maximum of 5.