When 'Press Start' is flashing at the Title screen, enter the following codes:

99 Lives:
Left, Right, Right, Right, Down, Up, Right, Up, A

Warp:
Left, Right, Right, Left, Up, Left, Left, Right, A

Warp unlock all levels:
Down, Up, Down, Left, Right, Up, Left, Up, A

Unlock Every Level
Down, Down, Up, Up, Left, Right, Up, Down, A

Level Portals Opened
Up, Up, Down, Down, Left, Right, Up, Down, A

Unlimited Health in Sparx Worlds
Down, Up, Up, Down, Left, Right, Right, Left, A

Unlimited Weapons in Sparx Worlds
Down, Right, Up, Left, Left, Up, Right, Down, A

Extra Sparx Weapons
Right, Up, Right, Left, Down, Up, Left, Down, A

Now enter one of the following commands in any Sparx world:

Invincibility Shield: Press Up + Select.
Smart Bomb: Press Right + Select.
Rapid Fire: Press Left + Select.
Homing Bombs: Press Down + Select.
All Keys: Press L + Select

Thanks to Revolution reader cody ray, razorz_edge, luis, and marcel olszewski!