Skip Level  -- to Buttsville

Pause the game and press L, A, Up, R, A, R, A, Select.

Skip Level -- to Down the Tubes

Pause the game and press Up, L, Down, A, R, A.

Skip Level -- to Pete's Sake

Pause the game and press R, L, R, L, A, R.

Skip Level -- to Level 5

Pause the game and press R, L, A, B, B, A, L, R.

Skip Level -- to Snot A Problem

Pause the game and press R, Up, Select, L, R, Left.

Skip Level -- What the Heck Level

Pause the game and press Select, R, B, Down, L, B.