Aero the Acro-Bat

On the Title screen, press X, Y, B, A, X, A, B, Y, Up and the L Button.

On the Title screen, press X, Y, B, A, X, A, B, Y, Up and the R Button.

On the Start/Options screen, press Down, A, Down, Y, Down, A, Down, Y. Begin your game, and press Start to pause. Now, press Up, X, Down, B, Left, Y, Right, A, L and R. Whenever you want to skip a stage, press Start to pause, and press Select.