When the text Sound Creator Atomic Hanada scrolls into view during the ending, hold X + A + L + R shoulder buttons, and keep those buttons held to change the final cutscene of Joe and Mac being chased off the screen.
To get extra lives, simply play those levels that have them again. Once you've collected them, press START, SELECT to return back to the world map. Repeat as required!
To replay a level that you have already beaten, simply go to that level on the map and press START, SELECT!
On the title screen, move the cursor to Option. On controller 2, hold d-pad right and L shoulder button. On controller 1, hold d-pad left, R shoulder button, and press Start.