First of all, something that some people don't know is the fact that you can visit the ammo rooms MORE THAN ONCE! The trick is, after having stocked up on your bullets from a particular room (for example, a Machine-Gun-Bullets room), go forward past the door approximately the distance of two jumps, then turn back, visit the room again, and find more ammo.
The reason this works is because the game is divided into invisible "sections". Once you cross a section boundary, the game forgets everything from the previous section.
This is especially useful on levels 2 and 7, where, when combined with another trick which will be detailed after this one, one is able to get MG Bullets up to the 900s (I think it resets to zero at 1000).
Anyway, there's this section near the beginning of levels 2 and 7 where there are two platforms next to each other and above you, the first of which has a MG Bullets door. Having killed everyone up to that point, kill the guards on the platforms, fill up with bullets, then - you just exited the MG ammo door on the left side of the left platform - walk right, and then jump (while walking) such that you fall through the gap between the two platforms (while still drifting to the right), then either walk or jump one more jump-distance to the right, walk back left, jump up onto the right platform, jump from there onto the left platform, get more MG bullets, and repeat about 7 or 8 times (or less, if you're not quite sure you can do the rest of the level with such limited remaining time).
The thing with the jump down through the platform-gap is that since you're drifting to the right as you're falling, it's quicker than jumping straight down from the platform, then walking to the right. But getting a whole buncha MG bullets is really useful, especially on level 7, what with the seriously time-limited level 8 being next, and the fact that level 10 is so much easier with the MG ammo. There's a trick to levels 5 and 10 also, but let me first finish up with 2 and 7.
The other trick on levels 2 and 7 is on the second half of the level (i.e. past the stacked boxes, and the gap), and has to do with the stairs. If the stairs always bothered you as being really slow to traverse, you can, via a programming glitch, skip most of them!
What you do is go down the first set of stairs until you're on the left side of the screen (I think after the boxes and the gap you just have to go down a flight to the right edge, then down some more to the left edge). Then, stand on top of the landing that's just before you reach the floor. Inch towards the left edge of it until you're standing on the left edge.
And then, walk left, falling off the landing, then as soon as your feet leave the landing, go right. You'll fall right through the floor (skipping the stairs), landing on the same landing one floor down. Repeat until you reach the bottom. With practice, it'll come really smoothly and instinctively.
Once you get this down really well, time how long it takes you to get from the platform MG ammo room at the beginning of the level to the end of the level using this major-time-saving trick, so you can figure out when you should stop getting more ammo so you can safely finish the rest of the level on time. One note about this particular trick is that on level 7, the first (I think) landing, you probably don't want to do this trick, because one of those white guys (that take four shots to kill) will appear almost on top of you when you land. But otherwise, it works exactly the same.
And lastly, the most impressive glitch I know of in Rolling Thunder, and the one that never ceases to cause people to say: "What??? How did you DO that???" In levels 5 and 10, once you get to a certain point in the level (around halfway through), you come up against two boxes stacked on top of each other (i.e. you can't jump over it), and a platform above you (on which you jump and continue to the right).
At this point, jump up onto the platform, then position yourself at the very right edge of the railing on the platform (you can only jump up/down where railing is present) which should correspond to the very left edge of the boxes, then (I forget if you have to be facing right for this to work, but I don't think so) jump down. This will put you at the very left edge of the boxes.
Then, making sure not to move the joystick to the left, walk towards the right, hit the jump button, and watch yourself get sorta caught between the bottom and top boxes, then jump right again, clearing the top box and landing on the ground. Now comes the neat part. Don't fire at anyone, and don't panic, but simply go to the right and watch yourself WALK THROUGH EVERYBODY! Neat, huh?
You can simply walk past everyone until you get to the last guy (the guy in the cloak). Then, if you have properly stocked up on MG bullets earlier on this (or another) level, simply hold down the fire button and watch him collapse an inch in front of your face. One last note about using this is that on level 10, in that last area before the final arena, there's the "stairs-like" hurdles, and on each of these steps, one of those annoying white guys will appear.
You have to be careful not to be in too much of a hurry, or they will follow you into the arena, where they can and will hurt you, or keep you busy enough that the guy in the cloak will. So make sure you have a little extra time to let those guys disappear off the screen (after you've made all of them appear) before going after the guy in the cloak in the arena.
I can do an imp of both of these tricks easily.