To erase all saved data at once, press and hold Select + Start + L + R + B + A during the "GAME BOY" boot-up screen. Keep holding the buttons, and the screen should go black for a second or two, and then you'll have to answer yes or no to the "Erase all saved data?" question.

In Super Mario 2 mode, beat Wart in World 7-2 to unlock Yoshi's Challenge. Warping is OK. Make sure you let the credits roll, and then Save and Quit at the end. After that, the sky in the title screen should now be a red/tan color, with a moving Yoshi Egg in the lower-right corner, and the file you used will say "Extra" instead of "World." The "Yoshi Challenge" is to find (and pick up) the two Yoshi Eggs that are hidden in Sub-Space in each level, and then beat the level.