In the shop on the first island, the one with the guy on a scooter next to it sheltering from the rain, buy one Mecca Penguin and let it off in the store. The owner will run out. Go out and then go back in, the owner will be gone but there will be another Penguin on the shelf. But with no owner to make you pay, you're free to take it. Exit and enter as many times as you like to get a few free Penguins.
At the very start of the game, investigate the table by the door in the screen and you'll find a key, use it to go through the door and you'll find your Magic Ball, a map and some darts. This will save you some hassle and money (kashes) as you won't need to buy the map at a store.
There's a way to increase the firing rate for the Pistol and the laser beams on the space suit. You can cancel the recoil on the shots by letting go of the fire button. If you do this right after the shot and then press it again you'll fire again but will have skipped the entire recoil animation, which repeated will lead to a faster rate of fire.
If you hit a behaviour button just as you hit the ground after falling, or after doing an attack, you will reset the animation back to the beginning, allowing you to do something else straight away. If the fall is from high enough you'll still take damage however.
Press Escape to go to the menu, then enter one of the following codes depending what effect you want.
life - Full Life
magic - Full Magic
full - Full Life, Magic and Clovers
gold - 50 Kashes
speed - Display Frame Rate
clover - Clover
box - Clover Box
pingouin - Mega-Penguin