Stage Select:

In the Sonic Chaos logo, and after music begins, press Up, Up, Down, Down, Right, Left, Right, Left, Start. You'll enter the menu. Select a stage and press 2 to play. You'll be able to select Sonic or Tails before warping to the chosen level.

 

Sound Test:

In the Sonic Chaos logo, and after music begins, press Down, Down, Up, Up, Left, Right, Left, Right, Start. You'll enter the sound test. With Up and Down you change the sound code, with 2 you play it, and with 1[Down] or 1[Up] you go 16 sounds or backwards.
There's a nice easter egg here: you can throw a Ryu-like fireball. Quickly press Down, Down-Right, Right+1 and watch.