While your ship is blinking (invincible), push Up, Up, Down, Down, Left, Right, A, B
At the stage select screen, select with ABCD to skip 4 stages from the indicated stage. For example select Stage 4 and push ABCD at the same time to warp to Stage 8.
At the main menu, push Left 7x, Right 1x, then press any button on both the 1P and 2P controllers.