Press Up, Up, Down, Left, Right, A, A, C. Press these at the starting screen.
In any stage where there are zombies (3-1, 3-2, 3-3, and 5-3), if you press and hold the B button then perform Michael's Dance Magic (press and hold A until he dances), instead of the usual tune that plays, a short version of Thriller will play. Unfortunately, this only works in REV 00 versions of the game.
With controller 2, hold up+left+A and press Start. At the press start title screen use controller 1 and press start. Now, when you choose a game you can select a stage but not the subsection (ex. 1-2, 1-3 etc.)
In order to moonwalk, all you need to do it to use Michael's kick attack while walking, and if you continue to go the same direction during and after the attack, instead of walking normally, Michael will moonwalk instead.
In level 5-2, walk up the pair of steps where you first start off. walk to the right until you see the first opening & closing drop .fall through and hold right to land on the surface under it. after that, open the door and rescue child. Then go all the way to the left where you first were but move to the right side of the box door. wait for the star to come and jump up to get it.
Note: This must be the first child rescued in this level.