Gauntlet/Secrets

Walls become exits
On any level of any mode (other than Gauntlet IV's Quest and Battle modes), simply have all players stand still for 200 seconds. After 200 seconds all walls become exit doors (you can watch your health go down by 200 to count this). You can shoot and turn, as long as you do not move, so you can position yourself in a place where enemies spawn to boost your score while you wait. This trick allows you to easily finish levels that would cost you far more than 200 health to fight your way through normally.

More Continues
This isn't exactly a secret, but most home versions allow you to continue after a Game Over by using up the credits allocated to the other players. Simply swap the port the controller is pluged into (if applicable) and press the appropriate button. You can continue doing this until you run out of players.