Sonic's Secrets: Cool Spot.

Go to the Options screen and press:

A, A, B, B, C, C, C, C, B, B, A, A, A, A, B, B, C, C.

This will activate the Debug mode where you have access to Infinate Lives and Level Select cheats. (see right)

While playing, press Start to pause the game. Now press:

A, B, C, B, A, C, A, B, C, B, A, C.

If you did this correctly you will hear a tone. Immediately afterwards, you will see the "Level Completed" screen followed by a bonus round completed screen and will then advance to the next level, where you will be invincible.