To play as Skeleton Zeke, press and hold down the following button combos when the game's "legal screen" appears (the one with all the copyrights, etc): A, B, X, Y.

During gameplay, hold RIGHT on the directional pad and enter B, B, X, Y, Y, X, B, A.

Hold RIGHT and then press X, X, Y, Y, B, B, B, A.

Hold RIGHT and then press X, B, B, B, X, B, Y, A.

Save and quit your game. Then load your saved game, and you'll begin at the save point with full health.