On stage 6 "Assault Zone", after the Hellacopter section and right before the first ladder, there are two gravestones sitting on the bottom of the screen. Go between them and press the dodge button 7 times and it will unlock "Fuzzface", a strange and out of place creature that can fly and talk. He'll hover over you for the rest of the game and occasionally give you power ups and items, making the game much easier.