At the 'Main' menu quickly press Up, Down, Left, Right and then hold A while pressing + and if you have entered the code correctly you will hear a confirmation noise and the Level Select screen where you can select any Act, the Special Stage, and the Sound Test will appear.
Unlock Level Select: Press Up, Down, Left, Right at the Title screen. If you have entered the code correctly You will hear a noise like a ring being collected. Then hold A and press Start to be able to select a level.
Unlock Different Ending: Beat game having collected ALL the Chaos Emeralds.