Invincibility: To activate invinciblity, at the options menu, choose the "S.E." selection. Press B to play the "He Runs", "Japonesque", "Shinobi Walk", "Sakura", and "Getufu" songs (in that order).
Infinite weapons: At the options menu, set the "Shurikens" selection to 0. Set the "Sounds" option to "Shuriken". Highlight the "Shurikens" option again and the 0 will change into the symbol for infinity.
Bonus points: To gain 30,000 bonus points, beat a level without throwing any shurikens.