Infinite Continues
Pause the game, then press L1 + R2 + O + Square and then press Select. Select the 'Cheats' option and press L1 + R1 + R2 + Select at the cheats menu for infinite continues.
Level Select
At the main menu, highlight 'New Game'. Then, hold L1 + R2 + O + Square and press Select. Next, highlight 'New Game' again and press Right to select a level, then press X to begin the game.