At the title screen while the words "press Start" flash wait for the sega logo to appear and hold the C button and press up, down, left, right, down, up, right, left, up, up, left, right. You should hear two gunshots. Now press down at the Options screen for 'Extra Options'...
Play Ranking Mode:
When the Sega Logo appears on the screen, hold down C on the joypad and push Up, Down, Left, Right.
Free Play - Unlimited continues
Mirror Play - The scenery and bad guys are flipped horizontaly
Keep the Target on the screen:
If you start the game with the regular control pad and go through to the begining of the game, pause it and switch the control pad with the stunner. Then you will have the target up on the screen like you do with the regular control pad.
Watch the ending:
On the first stage, after the last enemy has appeared and before the boss hold down buttons B, X, and Z on the Second Player Pad. Keep them down untill you beat the boss. After the boss has been defeated you should be able to watch the ending after he dies.
Thanks to Revolution readers Haris Ajanovic, Hugo C., Christopher Harris, and Daniel Epp!