Soldier Blade

Soldier Blade
Developer: Hudson Soft Publishers: Hudson Soft (JP), Turbo Technologies (US) Platform: TurboGrafx-16 Released in JP: 1992 Released in US: 1992 This game has a hidden level select.

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Level Select

On the title screen, press Up + Select, Down + Select, Left + Select, and Right + Select (you can either press and hold the directional buttons before pressing Select, or press both at the same time).

If done correctly, options for Stages 2 through 7 will be added to the main menu between Normal Game and Caravan Stage/Challenge. Use Select to cycle between them.

(Source: GameFAQs (HyperSilence))