Play as Skeleton Zeke
To play as Skeleton Zeke, press and hold down the following button combos when the game's "legal screen" appears (the one with all the copyrights, etc): A, B, X, Y.

Level Select
During gameplay, hold RIGHT on the directional pad and enter B, B, X, Y, Y, X, B, A.

Weapon Bonus
Hold RIGHT and then press X, X, Y, Y, B, B, B, A

Invincibility
Hold RIGHT and then press X, B, B, B, X, B, Y, A

Health Restoration
Save and quit your game. Then load your saved game, and you'll begin at the save point with full health