So, here's what's going to happen. You're going to take out your copy of NSMB right now, and turn it on. You're going to start up your game and go into the World Map pause screen. You'll then enter this button combination: L R L R X X Y Y. The screen will flash "Welcome to the secret Challenge mode". You'll enter a level of your choosing, and find out that what Nintendo considers a "challenge" is actually an almost inconsequential and possibly quite irritating facet of gameplay: in Challenge mode, the game will no longer allow you to backtrack in levels. You're going to then cry many tears of pain, for your hopes have been dashed 'gainst the sharp rocks of reality.
Okay, so it's a nice throwback to the old days of the original Super Mario Bros., and that's not actually a bad thing. Still, gamers these days prefer the option of backtracking for hidden coins and whatnot, and labelling such a minor addition as a secret Challenge mode is a bit of a faux pas, no?
[Update 1: Commenters are reporting that the code appears to function only once the game has been beaten. Why haven't you beaten it yet? Go go go!]