Level select: At the character selection screen in Arcade mode, hold Down/Left + B and press Start. A number that corresponds to the starting level will appear in the upper left corner of the screen. Use the D-pad to change this value.
Nine continues: Select Arcade mode, then hold Down/Left + A + C. Release the buttons and press Start.
Two player mode: Press Start on controller two in Arcade, Beginner, or Duel mode.