Cheat menu:  On the screen that says "Midway presents War Gods" press 
Right 3 times, B, B, A, A.  The screen will flash if done correctly.

Play as Exor:  On the selection screen press Left, Down, Down, Right, 
Left, Up, Left, Up, Right, Down, .  On the Direction pad, then choose any 

Play as Grox:  Do the same as above but, press Down, Right, Left, Left, 
Up, Down, Right, Up, Left, Left.  Then choose any character.

Unlimited Credits:  At the title screen press C-Left, C-Left, right, A, 
B, C-Up, and C-Right.