The following trick will advance the game to the next episode of the current level. Die or get arrested until you have no lives remaining. When the screen displaying your stats appears, press A to restart and use the same character. The next episode in the level will be unlocked. Repeat this procedure to unlock all the levels. Note: Once you start the next episode you must pause the game and press B button to quit in order for the level to be stored in memory.
Level select
Rename any character to "LEVELS" to unlock all cities. Alternately, rename any character to "WENDY".
Infinite ammunition
Rename any character to "FULL".
Hidden characters
Rename the character "KELLY" to "SUMNER" to unlock the game's developers.