Oh, boy...to enable debug mode, do the following sequence:
- Press and hold Up, then A; release Up, then A.
- Press and hold Right, then A; release Right, then A.
- Press and hold Down, then A; release Down, then A.
- Press and hold Left, then A; release Left, then A.
- Press and hold Left, then B.
You should hear a sound if you entered the sequence correctly. A stage select option will now replace the Continue option on the title screen; select it and use the D-Pad to select the level. In-game, pause with Start and press Select to cycle through the weapons.