On the 6th level, don't destroy the 2 big laser blasters near the start of the level on the way down. Destroy them (preferrably with Hunter) on the way back up and inbetween them a Fire power up will appear that you can't get if you destroy the lasers on the way down.
You only get the shield power up on levels 2, 3 and 4. So if you start on level 3, 4 or 5 then the last one in the sequence will have a shield power up. If you start on level 1 then you will need to do the whole of mission 5 trying to keep your shield intact. It can make all the difference.
Pause the game and press up 10 times, B and then down twice. Then keep pressing B and it will add one weapon per press in order. Similarly if you don't want a weapon you can press C when it comes up in the cycle and it will remove that weapon. Pressing A will give you the side pods.