Level select:
At the Main menu, highlight one or two player game and press Circle. You'll go to a level select screen.

9 lives:
Pause the game and press Right, Right, Right, Down, Circle, Left, Down.

5 shots:
Pause the game and press Down, Left, Circle, Down, Right, Right, Right.

Classic mode:
First enable Level select. Choose level 00 and beat it to activate Classic mode. To play Classic mode, press Right at the Main menu.

Thanks to Revolution readers Mike Caruana, Valera, and James!