To have infinite shurikens, go into the options menu and set the syurikins option to 00. After a couple of seconds the number will change to ∞. When you start the game, the shuriken counter will always be at 999, so you'll never run out of them.
Player 2's controller can also do some interesting things. Pressing start will freeze the game, press start again to unfreeze. When the game is frozen, hold down A and the game will resume in slow motion. Pressing B will skip to the next stage of a round, whilst pressing C will make Joe jump, and you can keep pressing it to make him float. Every time you press C, it will toggle whether Joe's weapons are powered up or not.
Pressing the A, B and C buttons together will bring up a character editor. Please see ICEknight's guide for more information about this.