TMNT III: The Manhattan Project on NES was pretty damn good. I believe it was the first one to give the turtles each their own special life-draining "A+B Button Together" special attack. The cool thing was, the attack didn't drain your life unless it actually connected with an enemy, so you could spam it while there were no enemies on screen. Also, once you were down to one energy bar, you could spam it as much as you wanted on enemies until you died from being hit.

^^^That fucking triceratops dude wasn't even in the game!

One of the 2 player modes allowed you to hit each other (why they included this, I have no idea).
Oh, and a variation of the Konami code works, allowing you to do stage select, set number of lives, and do a music select to listen to you favorite tunes from the game.
TMNT 2 The Arcade Game on NES also had a code that let you do something similar (I don't recall it being a variation of the Konami code though).
Speaking of TMNT music, not much beats the tunes of the NEON NIGHTRIDERS stage from TMNT IV: Turtles in Time though!