Have ZED collect the Megaton Bomb from the Idol Room and exactly 62 bombs. Then have ZED destroy a Spider Lurcher with the regular weapon and make position him so he is facing down. Press Select to display the "Sub Screen" and highlight the Energy Capsule. Hold Up/Left on controller two and press A(2) on controller one to enable cheat mode. ZED will now be able to use an unlimited quantity of any item.
Enable cheat mode, then press Up/Left + Select. A number that corresponds to a game level will appear. Press the A or B select a new level.
Disable collision detection
Press Start to pause game play. Hold Select + B and press Start to resume game play. ZED will be able to move through objects as long as Select + B are held.