4 in 1 Classics
At the boss on the last level have one person answer NO to his question and the other answer YES. You will then fight and the person who said no must win. Then he asks again and you answer no. After you kill him you have the bad ending.
Revenge of Shinobi: Unlimited Shurikens
For unlimited shurikens, set the number of shurikens on the Options screen to "00" until the zeros turn into an infinity symbol.
Revenge of Shinobi: Extra Lives
In round 4-2, shoot at the first conveyer belt which will make a two-up box appear. Then kill yourself and repeat for as many men as you want. The game will keep track of extra men beyond what the counter shows.
Golden Axe: Level Select
Select Arcade Mode and press Down-Left to start the characters spinning, then press B + Start at the same time. A number will appear in the top left hand corner. Use Up and Down to choose a level, then select your character and start the game.