This is on the Wii's Virtual Console. I don't think I would be able to do it, except that (at least in this particular version) when you game over you get the option to continue at the beginning of the world you died in. So even though I've run out of lives three or four times in World 4, I get to start at 4-1 as long as I keep choosing the "continue" option.
Probably just going to play through it straight (no warps) one time, just so I can access and hopefully beat World 9.
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http://www.gamefaqs.com/boards/228-movies-video-and-dvd/58949084