At the title screen, quickly press Up, Up, Down, Down, Left, Right, Left, Right, B, A, B, A. You will then start with 30 lives. The really cool part is that after a continue, these lives come back again!
30 Lives
On the screen where you choose how many players you want press: up,up,down,down,left,right, left,right,b,a,b,a,start. That should give you 30 lives instead of three!