Complete the game, then at the Title screen, press Down.
Hidden Extra Lives
Here is how to find four hidden extra lives in the game's towns:
Fillmore - When you get the Compass, use it here.
Bloodpool - Make it rain over the big lake.
Kasandora - Cause an earthquake after uncovering the pyramid.
Northwall - Strike the town's shrine with a lightning bolt.
Complete the game, then at the Title screen, press Up or Down, Down.