Level Skip:

Each level is brought to you by the letter A, E,
I, O, or U. At the title screen, press A for level 1, E for level 2, I for level 3, O for level 4, and U for level 5.

Secret Level:

Don't forget, the letter Y is sometimes a vowel.
At the title screen, press Y for a secret level
dedicated to BieberSoft's WonderDweeb.

Second Weapon:

This is more of a glitch than a cheat. When playing a one player game with a joystick, press player 2's button #2 (Ctrl is the default) and a second stationary weapon will appear in the middle of the screen. To cycle through the weapons, press player 2's button #2.

Control Both Characters:

Also a glitch. At the start screen, press Ctrl-Y
and set the controls for both players the same (i.e. have both of them use Joystick 1) then start a two player game. You can now control both Ernie and Bert with one joystick/keyboard.