On the title screen, push the Select button 15 times, if done right, you should end up with OPTION highlighted. Enter the OPTION menu and you should see a new option called MAPSELECT availible under the MUSIC option. Use this to select one of games 7 stages. After selecting which level to go to, exit this menu to go back onto the main menu and then start the game to go to whichever level you selected.
For the duration of the game, play as each of the three different forms (depends on crystal color chosen at the end of certain boss battles) at least once. If done right, the second last level will yield a grey-ish crystal, which provides the ultimate form for the final level.
(note: Beat the game in this form to receive the good ending)