Buck Bumble 

Full health, ammunition, all weapons 
At the title screen:
press Left, Right, Up, Down. Then, hold Z and press Right(2), Left(2).
If you entered the code correctly, you will hear a sound. 
Then while playing a game, press A + B + R for full health, full ammunition, and all weapons.

Level select 
At the title screen:
hold Z and press Right, Down(2), Right. Release Z, then press Right, Up, Down, Left(2), Up, Right(2).
If you entered the code correctly, you will hear a sound.

Invincibility 
At the title screen:
hold Z and press R(2), L(2), Up, Down, Left, Right.
If you entered the code correctly, you will hear a sound.

Play as Dark Stinger 
Before the opening screen appears:
hold Z + Analog-stick Up and press C-Up, C-Right, C-Down, C-Left(5), B, A, B.
If you entered the code correctly, you will hear a sound.