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
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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!
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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.