Super Mario Brothers Cheats

After completing the game once you can actually choose what level to go to on the title screen. Press B to change the level number the demo is playing on.

To continue the game from where you left off when you ran out of lives just hold down A and START when you see the screen that asks how many players you want to select.

To do this, once you lose and have lost all turns for Mario or Luigi or both, hold A+B and then press Start at the Game Over screen.