> Enter three groundhogs as your name (it's one of the characters at the end of the alphabet).  Get 
to the Extra Options menu when backing out of the Options screen (return using the B button or the menu) The options are:

Riki's shot trail thickness -
Normal(thin)
Thick

Mami's shot trails:
Normal(thin)
Think
Large Missle and Thick (N64 style)

Explosion Fragments:
Normal
None
Heavy (cool!)

Background:
Normal
None
?

Invincibility:
Off
On

The cheat also opens up 44 levels.
(courtesy: GameFan)