Infinite Lives:
Goto the title screen and enter the following:
L1 R1 L2 R2 L1 R1 L2 R2

Accumulate More Lives:
This cheat/tip only really works on later levels. But, if you want more lives, you can go back to the earlier levels, accumulate a ton of lives and save them after finishing the level. Then go back to the harder level, and continue your game. You will have the lives you got playing the easier earlier levels