Okay, so you have a copy of Alien 3 that you're trying to work your way through, but you're having trouble with one stage or another.
So you pause the game for a breather
And then you press
Left, Right, Up, Down, Left, Right, A, B, A, B
Suddenly you find that the stage ends and the next one begins!
Which works for any stage (just don't skip the last boss, it kind of makes the game crash), which makes it a great way to preview later stages or to continue where you left off if you have a power failure or something.