In the selection menu type "WARP" followed by a space (or without space) and a number between 1 and 50. You will then start in the selected level.

Level Codes:
Level  5: AGNUS    Level 25: VISION    Level 40: ALIEN
Level 10: PARSER   Level 30: ORBIT     Level 45: FALCON
Level 15: CRYSTAL  Level 35: PALACE
Level 20: REACTOR