I've had this classic Genesis game lying around for two years now, but this was my first serious attempt at playing it. The default difficulty of 3 POWER and 3 PLAYER (lives) and no continues is a bit on the harsh side, so I used B+Start at the title screen to set 5 POWER and 5 PLAYER. In my first game, I reached level 4/5. The bosses of level 2 and 3 are very exploitable. For the level 2 eye melon thing, I just parked my Dragon Beast in front of its face and mashed the lightning attack. For the level 3 snail thing, I jumped my Bear Beast (which is adorable, by the way) around inside it. I died on level 4 and never saw the Cat Beast.
Oh, and you can continue from the level you reached by pressing A+Start on the title screen. That should make things easier.
OK, I started over with default settings and just using A+Start to continue. I reached level 3 on my first run.
Reached the final level.
A humanoid rhino?
Completed the game on Normal (1/3) difficulty.
The rhino dude is ridiculously easy. Crouch and punch. That's all. :)