This is just a list of addresses I've stumbled upon while tinkering around with the game. It might be of some use for modifications or general exploration, hopefully.
Various Addresses
Current Stage Difficulty 0x00ae8950:?? 0x00ae8956:??
Character Select (New Game ONLY
Addresses and Values
Current Stage - 0x00ae8950:?? _New Style_ 00 = Intro 01 = Cutman 02 = Gutsman 03 = Iceman 04 = Bombman 05 = Fireman 06 = Elecman 07 = Timeman 08 = Oilman 09 = Wily 1 0A = Wily 2 0B = Wily 3 0C = Wily 4 _Old Style_ 0D = Cutman 0E = Gutsman 0F = Iceman 10 = Bombman 11 = Fireman 12 = Elecman 13 = Wily 1 14 = Wily 2 15 = Wily 3 16 = Wily 4 _Challenge Mode Boss Rushes_ 17 = Boss Old 18 = Boss Easy 19 = Boss Norm 1A = Boss Hard 1B = Wily Old 1C = Wily Easy 1D = Wily Norm 1E = Wily Hard 1F = All Norm 20 = All Hard
Difficulty - 0x00ae8956:?? 00 = Normal 01 = Easy 02 = Hard 03 = Old Style*
(* Only affects MM1 enemies and bosses. All others use their Normal settings. New Style levels have all Easy Retry Flags but not the Easy Blocks.)