At the tile screen, press Up A B to unlock Expert mode. Note: A sound will confirm correct code entry.
To skip a leve, pause the game and press A, B(2), A(2), B(2), A.
Level 3 shortcut:
On level 3 (the city) take the elevators up at the start of the level but DO NOT go on the top floor. Instead, jump of the elevators a little early and towards the wall on the left side. If you keep holding left on the D-Pad you will go through the wall. This lets you skip about half of the level and is much more easier.