Complete all underground zones.
Probably the hardest achievement in the game. You must complete each of the game's 4 lairs in one playthrough. You have no extra lives when in the lairs, and if you die you are kicked backed to the battlefield and the lair is no longer accessible. For this achievement, you need to conserve all grenades and nukes acquired throughout the game for use in the lairs. Dying on the overworld will not effect your pursuit of this achievement (provided you do not run out of lives entirely), so do not use your special weapons on bosses or other tough situations. When in the lairs, be sure to blow up all explosive barrels and kamikaze enemies from a safe distance. Make sure to look behind you constantly when in the hallways (especially in the last 2 lairs) as enemies will randomly appear behind you on occassion. To be safe, grenade turrets and large groups of enemies. When you reach the arena-like open areas, be prepared to dodge a lot of fire. It is tempting to use nukes in these areas, but be careful as the blast does not destoy any bullets the enemies have already fired, but it does whiteout the screen making it temporarily impossible to see the bullets. Try to save all of your nukes for the last area of the last lair where you must face the flying electricity balls. Nuke these things straight to hell and then carefully clear the next room to finish the final lair. This achievement can be unlocked on any difficulty, and will unlock when you finish your current zone, NOT when you meet the requirement.