Unlock Level Select:
Press and hold the C button when the Sega logo appears on the screen and 'sweep' the D-Pad in a clockwise direction starting at Up and doing a full circle around it while still pressing the C button. If you have done this correctly you will hear a noise as confirmation and if you then press 'Start' you will be able to select what level you want to go to.

Unlock Unlimited Lives:
Enable the 'Level Select' code and then highlight the last level on the level select screen and press A + B + C + Left. Then press A + B + C + Left again when the screen fades.