Skate or Die's adventure mode is pretty tough. Partially due to some wonky hit detection, but mostly because of some pretty evil level design. There are 4 stages total, but odds are that you're going to give up on it well before you see them.

Unless...

If you have a second controller, at any time in the adventure mode you can press on it:

Start, A, Select, B

And then either Right, Left, or Up. Depending on the direction you pressed, you'll be instantly warped to a different stage: Right takes you to the Mall (Stage 2), Left to the Beach (Stage 3), and Up to the Warehouse (Stage 4). You would think that Down would take you back to Stage 1, but no.

Just be aware that you don't get any board or trick upgrades when you warp around. So I'd definitely recommend hanging out on Level 1 for a while getting upgrades before you go on. (Yeah, you can get some upgrades in Stage 3 also, but there aren't any items to collect to pay for them. So stocking up on those is probably a good idea, too).