GOLDEN AXE 
9 Continues 
Enter the Options screen and select Arcade Mode. Now hold Down-Left on Controller One. The characters should spin continuously. As you do this, press A + C. Release all the buttons and press Start. 
Game Genie 
You need a Game Genie to enter these codes. 

Code         Cheat
BB0A-AA8E    Infinite hit points
RF7A-A6WA    Infinite magic
KB7T-AA4A    Infinite lives

Submitted by maroon8600@yahoo.com 
Level Select 
Enter the Options screen and select Arcade Mode. Now hold Left + B + Start simultaneously. A number will appear in the upper left-hand corner of the screen. Press Up and Down to choose your starting level.