You must beat the final boss to access the "B" option. This option will put you against all six bosses with one life and no chance to heal.
To unlock the Jumping mini-game (marked as the J option on the Options Menu), complete the mini game marked as the M option.
To access the "?" option on the Options Menu, beat all the other mini-game options. With the new option, you can see the opening introductions to each world, as well as each of the three endings to the game.