You might remember some time ago that I covered a method for continuing in Super Mario Bros. But would you believe that this works or other games, too? Because it totally does.
Like Kung-Fu Heroes.
Get the Game Over screen (and you will, trust me)
Head back to the title screen
Hold A and press Start, and wham!
Back to where you were to try again!
Which is much faster than trying to work your way through the beginning stages again.