Man, next time you go against Olmec you should jump ontop his head while he falls into the lava to enter the Hell Stages :D
Of course, you're gonna need several special items including the Ankh and the Necronomicon to enter Hell. Can't remember if there are more or not.
Also, if you see the ball of red flesh in the second world, throw a damsel into it and than touch it to be transported to the Worm Stage, which if beaten(And it is HARD as nutts) can get you a secret character as well as the Crysknife, a powerful one-hit kill melee weapon that replaces your default whip and disintegrates whatever it kills, meaning that this is NOT ideal for sacrificing to Kali corpses and whatnot.