Go to the main menu. Hold down (A) + (B) on controller 2 while selecting Options. You can now select how many lives you start with (up to 9), choose your starting stage, and play at the Very Easy and Mania difficulty levels.
After being thrown by an enemy, it is possible to prevent taking damage from the fall by holding UP and the JUMP button while falling until you land. Your character should land on his/her feet and not take any damage at all. This is very helpful when fighting enemies like Signals and Ninjas.
At the title screen hold Right and B on Controller 1 and hold Left and A on Controller 2. Press C on Controller 2 with everything else still held down. Now both players can be the same person in 2 Player!