Level Select (Sonic 1):
     At  the main title screen, press Up, Down, Left and Right. Hold B
to go to the Level Select and Sound Test screen.

Level Select (Sonic 2):
     Go  to  the  Sound Test screen, and play these sounds: 19, 65, 09
and 17. Hold X and press Start. Once you are back at the title screen,
hold B and press Start to see the Level Select screen.

Level Select (Sonic 3):
     Press  Up, Up, Down, Down, Up, Up and Up after you hear Sega, but
before  the  main  screen  appears.  If  you  have  entered  the  code
correctly, Level Select and Sound Test will appear on the title screen
if you press Up.