Thanks again for the contributions. Currently at 24 extra lives, listed in order of appearance.
Stage 1
1) After second M power-up: Shortly after, stand on the platform where the missile launcher enemy was to make a gold pod appear.
2) Wall mid-boss: Perform a running jump from the platform and air dash to land on top of the wall. Shoot the gold pod.
3) Flamethrower tower: After the first wall mid-boss, you'll come across a tower with 3 flamethrowers. A weapon pod containing an extra life appears at the top as you climb it.
4) Quicksand area: After the worm attacks a few times there will be a flamethrower shooting upwards. Go underneath it and watch for a gold pod.
5) Beginning of the wooden bridge: There is a platform with an explosive barrel underneath and a missile launcher enemy on top. Do not destroy the barrel and jump onto the platform to reveal a gold pod.
Stage 2
6) Right before the wall mini-boss: Stay up on the vines and after the fight jump on top of the wall. Alternatively, jump high enough from the right side after the fight as either Krystal or Sayuri. A gold pod will appear.
7) After the wall mid-boss: There will be a u-shaped vine you can climb across. Shoot the leaves on the right side and jump on the branches to reveal a 1up.
8) Piranha bridge: Jump under the bridge onto a small rock to make a red circle appear. A gold pod containing a 1up will fly by.
9) Right after the bridge: Stay in the treetops as long as you can. Eventually you'll shoot some tree branches and reveal a 1up.
Stage 3
10) First pit: While falling shoot the weapon pod that flies in from the right.
11) Rotating spike panels: While climbing upwards shoot the left wall between the second and third set of rotating spikes, revealing room with a 1up.
12) End of boulder tunnel: After outrunning the boulder, just before the wall breaks, a weapon pod will fly in from the top right.
13) Before the submarine boss: There are two turning spike wheels with a pit and health pickups underneath. Instead of falling and walking under them, climb over them. Once you get in the middle a gold pod will fly by.
Stage 5
14) Conveyor belts: A little after the first big fall when you land on the green tubes, there will be two sets of conveyor belts. Shoot the weapon pod that flies by near the top of the screen.
15) After mid-boss: Grab onto a rail and jump to access one of the higher conveyor belts. Make a gold pod appear by standing on the left edge.
16) Green tubes: In the area where there are green tubes on the floor and ceiling, smash one of them on the ground level and step inside to reveal a 1up.
Stage 6
17) Flamethrower tunnel: During the flamethrower section a weapon pod will float by. Hang on the train car to collect it.
18) Train switch: When the first train falls off the track, jump onto the train higher up and hang onto it. Shoot the weapon pod and collect it before it falls.
Stage 7
19) After first piranha fountain: There is a platform with a missile launcher enemy on top and an explosive barrel underneath. Jump on the platform and a gold pod will show up.
20) Climbing outside the building: After the second helicopter fight jump on the last platform. A box will appear containing a 1up.
21) Top of burning building: At the top of the first vertical section, go left to find a 1up.
Stage 8
22) Area where ceiling crushes you: There's a gap in the ceiling. Jump up to get a 1up out of the box.
23) Missile riding section: On the set of missiles going to the right, hang onto the bottom one and ride it as far as it will go, then jump and stick to the wall. Climb it to make a gold pod fly in from the left.
24) Before final boss: Climb the rail where the three black missiles shoot vertically. About 3/4 of the way across, you'll activate a gold pod.