For fireballs, move back and forth (from left to right) several times, then press Jump. You'll take a hit, but the enemies will suffer greater harm. :->

For limited invulnerability, hold the Up key for 2 seconds then press Down.

For short-term protection, move back and forth (from right to left) several times, then press Jump.

Hold the Up key for 2 seconds untill you hear "Charge up", then press Fire. This will cost you one hit but the results are well worth it.