No Suit and 255 Missiles
To play without the suit and start with 255 missiles, enter the password "JUSTIN BAILEY ------ ------".

For the same bonus at the end game, enter the password "JUSTIN BAILEY ------" (leave the last 6 spaces blank.)

Harder Game
For a greater challenge, enter the password "999999 999999 KKKKKK KKKKKK". You'll have no Varia Suit and the ending will be ... unusual.

Wall-Climb Bug
Shoot open a blue door, then stand where the blue part was. Let the door close on you. Rapidly press down then up, down then up, etc... you will notice as you pop in and out of the ball form that you move up half a square for every down/up repetition. Make sure you always hit UP last, or you will be stuck in the ball form. Be careful where you use this trick, as you can easily get stuck above the screen (like in horizontal-scrolling sections). When you wall-climb in a vert-scroll section, don't go beyond the top of the screen, instead, stop just short of the top, and press the jump button several time to re-center the screen.
There is a room near Ridley's lair where you can use this trick to confuse the game, where-in you wall-climb above a vert-scroll section into a horiz-scroll section, and the game tries to reverse the scrolling properties of the rooms you can get into... but you can't complete the game afterwards.

Swimsuit Samus
On the password screen enter the password:

JUSTIN BAILEY

To get samus in a swimsuit, roll ability, bombs, 255 missels, wave gun and screw attack.