Debug Menu

The debug menu is how you find all the unused rubbish inside the games. To be honest, I've no idea how you access it. You need a debug BIOS of some kind, and it presumably needs placed somewhere specific, but in the end it comes down to flipping on "Developer mode" on the NeoGeo settings on Kawaks. Then, on console mode, press the coin button twice and you got yourself some debug action!
The debug menus are essentially the same for all of the games, but for differences they'll be noted. MS1 and the portable games haven't any debug menus; at least, none have been found yet. No idea if MS6 has one.

The debug menu from Metal Slug 3.
OPTION 1 (PAUSE) closes the menu and returns to regular pause in MS2, but in MS3 onwards it steps a frame forward and removes the dimming of the screen. Handy for screenshots.
OPTION 2 (SET DEBUG DIP) brings you to the Dipswitch menu, where you can fiddle with boring things. It's covered below.
OPTION 3 brings you to the Level Select menu, so you can warp to any area in the game, sometimes including unused ones! Take a gander at the Level Select section for that.
OPTION 4 (TEST STAGE) gives you a selection of stages used for testing various things, but their level of worth-looking-at varies from game to game.
OPTION 5 brings you to the Sound Test, which constantly has unused stuff but I don't cover it because there's only so many slightly different unused explosion sounds I can listen to.
And finally, OPTION 6 (COLOR BAR in MS2) resets the game in MS3 onward, but brings you a boring colour bar in MS2.

The dipswitches are mostly used for boring technical test purposes, but there's a few useful ones for gameplay in there.

The dipswitch menu in Metal Slug 3.

With this activated, you become invincible! This means you can plow through anything without a scratch. Except pits and being crushed by the screen.

This brings up a bunch of coordinates and whatnot beneath the HUD, which I presume is the locations of your character, enemies, and boring things. Worth noting is the fact it says "ZOMBIE" at the top right, even in MS2 before the zombies were introduced.
Also lol, Engrish.

PAUSE gives you permission to pause anywhere, such as the score tally or ending.

These two screw up the scrolling and HUD, and place little lines on ground you can walk on.

VIEW ATTACK RECT places two diagonal arrows over your character, and bomb explosions. Those arrows determine where enemies will fly when hit with an explosive weapon, I presume.

Good ol' BODY RECTangle gives you collision detection boxes on things like yourself, enemies, objects, prisoners, and some hidden hotspots. Handy.

With this activated, you'll know in advance whether you can walk past something or not before landing yourself in a sticky situation. MS2 lacks this.

Unlimited grenades!

And infinite ammunition!

With VIEW PA on, it shows where you'll respawn when you die. It's usually this sprite of Marco, but in MS2 it's of some girl from MS1.

D is just that. Press the D button and everything that can damaged - enemies, prisoners, scenery - is destroyed. Enemies splat or explode, prisoners are released, and the scenery is effected. Very handy.

PAUSE OFF removes the flashing "pause" text when you guess what. MS2 does not have this capability.

This is of varying usefulness. In MS3 it actually silences the music, inMS4 it does jack, while in MS5 it only silences the music in the sound test. MS2 misses out on the action.

I'm guessing this disables the warning screen. Hurf. Missing in MS2.