Press UP, DOWN, LEFT, RIGHT, A, B, C, START quickly and accurately when the title screen first appears and it will chime and fade out to a level select screen where you can choose a zone and act of your choice.
At the end of any level, if you have less than 50 rings and therefore cannot get to the bonus level, run through the turnstile and then stop and jump straight into the air. If the turnstile is off the screen when is stops spinning, when you come down it should show a picture of Sonic and therefore give you an extra life.
For infinite lives and unparalleled access to the items within a level, use this super code! At the beginning of the game, as Sonic is coming out of the hole, press the LEFT, RIGHT, DOWN, A and Start. Hold the Start button until the level begins.