30 Lives
Remember the Konami Code? Well its back...er..sorta. Enter the following button combos at the title screen to get 30 lives.
Use Controller 2 and enter UP, UP, DOWN, DOWN, L1, R1, L2, R2, L3, R3

Miscellaneous Bonuses
Unlock the other bonuses by doing the following:
Return - Clear game with rank "A".
Gallery - Clear game with rank "A".
Database - Clear game with rank "B".
Theater - Clear game with rank "B".
Satellite - Clear game with rank "B".

Unlock Levels and Options
Beat the game with an A ranking to get an alternate ending and unlock Level 6 in Training Mode. Beat the game with a B ranking to get Level 5 in Training Mode, plus the Theater and Database options.

Unlockable Stages
Unlock more stages in Story Mode by doing the following:
Level 6 - Clear level 5 with rank "A".
Level 7 - Clear level 6 with rank "A".

Unlock more training stages by doing the following:
Level 5 - Clear level 5 on normal.
Level 6 - Clear level 6 on normal.
Last Boss - Kill last boss on normal.