I guess Donkey Kong Country sold well enough that there was room for a couple of sequels, sequels that don't really even have much Donkey Kong in them for whatever reason.
But say you're playing the second one, and you go to the screen where you select if you want one player or two. You keep pressing the Down button on the control pad over and over again and eventually will be greeted with a Music Test
Keep on pressing it and you'll be greeted with the Cheat Mode selection
With that highlighted, press
Y, A, Select, A, Down, Left, A, Down
Which kind of spells out "YA SAD LAD". Done right, you'll hear a monkey holler.
Get into the game, and you'll find that you have 50 lives to play with!
And they're all over the place at the beginning of the game, so you can really stock up for the difficult bits ahead.