Press Left two times, I, Right two times, II, Up, Down, Up, Down while "Set-Up" is highlighted.
Soldier Blade: Level select
Hold Up, press Select. Hold Down, press Select. Hold Left, press Select. Hold Right, press Select. Continue pressing Select to view the new starting level locations (for example, Stage 2, Stage 3, etc.).
Star Parodia: Bonus stage
Destroy both hands of the stage 7 Boss and wait for the words "Bonus Stage" to appear. Collect it for something saucy.
Star Parodia: Extra difficulty
Select "0A" at the "Sound Test" menu, then go to the difficulty option. There should be one more difficulty setting available.
Star Parodia: Ultimate weapon
8-way Shot can be found at the Stage 2 fish Boss. Avoid damaging him and the little pebbles he flings at you, but use bombs on the fire he breaths out.
Super Star Soldier: Cheat menu
Press Left, II, Up, II, Right, II, Down, II, Left, I, Up, I, Right, I, Down, I, I + II eight times, I + Select eight times.
Final Soldier: Level select
Press Left two times, I, Right two times, II, Up, Down, Up, Down at title screen.