Infinite Lives

ign.com:

This is easiet when you are blue shell Mario. In World 2-2, go past the three turtles, then past the cluster of power-ups, to find four coins enclosed by a cage of blocks.

When you take those out, you create a small, walled up gap where if you throw a shell into it, it will bounce back and forth forever. You would already have been attacked by a creature in a cloud throwing spiked shells at you. Stand close to it without stepping on the shell, and let the cloud creature keep tossing the spikeys into the gap, where the shell bouncing back and forth will take them out.

Press down (crouch) to hide in your blue shell so you don’t get hurt. Soon, every spikey that’s thrown into the gap and taken out by the bouncing shell will give you one more life. You’ll reach 99 lives in no time.

In principle this works wherever you can get a shell to bounce back and forth perpetually, and there’s an endless supply of enemies dropping in to be taken out.

Warp Zone Cannons

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In some worlds, there are cannons you can access (usually through taking secret exits). When you enter the cannon area, there will be a large cannon in the area, and a world number written below it. If you want to warp, simply drop into the cannon and off you go! Here is a list of the known warp zones thus far:

World 5 Warp #1: Take the secret exit from the World 1 Tower.

World 5 Warp #2: Take the secret exit from Stage 2-A.

World 6 Warp: Take the secret exit from the World 3 Ghost House.

World 7 Warp: Take the secret exit from the World 4 Ghost House.

World 8 Warp: Take the secret exit from the World 5 Ghost House.

Warp from World 2 to World 5

about.com:

In Secret Stage 2-A, there is a secret exit to the stage that will grant you access to the Warp Cannon in World 2. Near the end of the stage, there is one last spin jump platform you need to use to reach the final Star coin.

Instead of stopping once you get the last Star coin, continue falling to the right and press Jump at the same time you land on the red turtle on the final platform to get enough jump height to reach the platform with the pipe above you in the little alcove. Go through the pipe and exit the stage using the red flag.

Infinite Lives

about.com:

In World 2-4, just past the two Piranha Plants (after the mid-level point) you will come to a staircase with a turtle coming down it. Jump on the turtle just as it is about to go off the third stair (third from the bottom). If done correctly, Mario will continue to jump on the turtle and earn up to 99 lives. If you miss the turtle, go back towards the left and return to the staircase and the turtle will respawn. This is a reference to the original Super Mario Bros., in which you could do the same trick to get unlimited lives.