DF3A-6454 Level select and 9 lives selectable on the option menu
DD21-1F6F Infinite lives--player 1
DD26-1F6F Infinite lives--player 2
DD29-0474 Start with no super bombs
DF29-0474 Start with 1 super bomb
D929-0474 Start with 5 super bombs
DB29-0474 Start with 9 super bombs
DDE4-39E3 Infinite super bombs--player 1
DDEF-3073 Infinite super bombs--player 2
DDE1-44B5 Bomb power-ups give no super bombs
D4E1-44B5 Bomb power-ups give 2 super bombs
DF25-0D84 Start with 1 health
D025-0D84 + D039-0454 Start with 4 health
D925-0D84 + D939-0454 Start with 5 health
D625-0D84 + D639-0454 Start with 8 health

For the almost invincible codes, if you fall into a pit, switch off effects 
to get out
C2B9-CDA4 Almost invincible--player 1
C2B1-C4A4 Almost invincible--player 2
18B0-C4A4 Almost invincible--both players
DF83-AD84 Start with no continues
D483-AD84 Start with 1 continue
D183-AD84 Start with 5 continues
DC83-AD84 Start with 9 continues
C2E7-4572 Infinite continues