Level skip:

Highlight "Exit" selection on the options screen. Then, hold X and 
press B, A, RS. Release X, then press X again. Fidex will bark to 
confirm correct code entry. Alternatively, hold X and press P, A, 
RS, A, LS(2), A to activate the code. Zack will say "Digital" to 
confirm correct code entry. 

Press LS + A to advance one level.
Press LS + B to advance five levels.
Press LS + C to advance ten levels.
Press LS + RS to go back one level. 

Secret level(s):

Highlight "Exit" selection on the options screen. Then, hold X and 
press LS, A. Release X, then press X again. An enemy voice will say 
"Hey!" to confirm correct code entry. Secret level 25 will be 
playable in the US version of the game. Twelve additional secret 
levels will be playable on the Japanese version of the game.