Infinite lives - 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).