It has a level select, but if you want the good ending you have to play the entire game all the way through in one sitting? Really dude? Really?
Took a break about 3/4 of the way through, resumed play and all my secret items I'd collected on that run were gone. Yeah that's real fair.
If you want it to be done all in one sitting, *don't* have a level select or a continue game feature!