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.