Note: It will speed up the process if you use a turbo controller.
When you get to level 3, fight your way through the stage until you get to the mini boss "The Flying Squito Nest" (the mini boss after you climb the building). Make sure you have the machine gun as your weapon or this won't work. Position your character as far to the left of the screen as you can and have him facing the right. Tape down the Y button and turn on your turbo mode. Set your controller down and come back in a few minutes to get a lot of lives (your lives max out when they get to 29).
If you play the game in hard mode you will fight a secret boss in level 6 after killing Red Falcon's Brain.
With the genious addition of holding 2 guns at once, this offers a great ability. Officially you can't use both of those guns at once. However, if you hold down B and rapidly press X, it'll create a double-wielding effect, shooting the projectiles of each gun quickly and effectively. If you have 2 of the same gun, it'll allow you to shoot a lot more rounds at a time. The crush gun is especially effective when double-wielded, as it's the most powerful.