On the world Gloomy Gulch, the level ghostly grave you can easily get 99 lives. For this to work you need both kongs.

Right at the start of the level before you move press the 'R' to make one of the kongs jump on the other. Throw the kong upwards killing the enemy. Then press 'R' again and jump and throw the kong up and left. You will land on a cliff off the screen and gain 3 lives. After you do this press 'start' then press 'select' to exit the level. Repeat as many times as needed to get 99 lives.

Note: you must beat this level atleast once for this trick to work.