When you die and the game gives you the choice of "continue" or "end", select "end". Now start game again. You will not lose credits and you will start from the sub-level where you died, not from the start of that level.
At the SEGA logo, hold A + B + C and press Start. Repeat at the title screen. This will enable you to practice almost any level (no bosses) with the third Option. Almost every screen has a Union Lizard coin (worth 1 or 2 lives).
Hidden Extra Lives
Here's where you can find some hidden extra men:
Stage 2-2 - Where the fence starts for the second time, you can jump and shoot a 1-Up.
Stage 3-1 - On the third floor, walk to the far right. There's a man on the two boxes. Shoot him with a power shuriken, go to the next level and you'll be able to jump down and retrieve a 2-Up.
Get To Level 3-2 Easily
Watch the story of the game until the demo play appears then press start. It will automatically take you to the Statue of Liberty 3-2 stage.
In the Bonus Level, you can get 1-ups depending on the number of hits you get, as reflected in this table:
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