Enter these code at the cheat code entry on the options screen. (To disable a code, enter the number backwards).

Player 1 Invincible    2358
Player 2 Invincible    1224
Player 1 Extra Damage    7879
Player 2 Extra Damage    3961
Quick Finish    4258
Easy Fatality    0322 (Press HP+LK to trigger the fatality)
Play As Grox (1P only)    6969
Play As Exor (1P only)    2791
Level 1 Select    5550
Level 2 Select    5551
Level 3 Select    5552
Level 4 Select    5553
Level 5 Select    5554
Level 6 Select    555
Level 7 Select    5557