You'll need two controllers hooked up to the console while the game is first booting in order to perform this code. Enter Up, Down, Up, Down, Left, Right, Left, Right on Controller 2 when you see the Sega logo at startup; a sound effect will play if you entered the code successfully.
This unlocks the debug menu where you can view monster sprites and animations, as well as unlock options for setting time limits. Exit the debug menu by pressing the Mode button on Controller 1.
Press Right, Right, Right, Left, Left, Left, Left, Right, Right, Right, Left, Left, Left, Left on the mode selection screen. Hold Select and Y on controller two and press Start on controller one.
Press Start on controller two when losing your last life. Game play will resume with a new monster with all continues.