Level select:
Reset the NES three times during the title screen, then press Up(2), Down(2), Up, Down, B, A on controller two.

Level select, ninety-nine continues:
Intentionally lose the game and wait until the title screen appears after the game over screen. Then, press Up(2), Down(2), Up, Down, B, A, Start on controller one, then press B on controller two. Press Up or Down to select an new level, then press B on controller two to begin game play.