Burning Force (Genesis)
This game has a hidden level select.
Watch the demo for 2nd Day, Area 4 in its' entirety, then go to the main menu, highlight Start, hold A+C+Left, and press Start.
Note that for some reason, the level select has a time limit. If a level isn't chosen, the game will go back to the title screen, at which point the above code has to be entered again in order to re-access the level select.