ZOOL

Story (from wikipedia)

The game is a pure platform game, relying on smooth, fast-moving gameplay. Its protagonist is Zool, a gremlin "Ninja of the Nth Dimension" who is forced to land on Earth; in order to gain ninja ranking, he has to pass seven lands, beating a boss at the end of each of them. The game contains a number of embedded minigames, including several arcade games, a scrolling space shooter and a game accessible only by making Zool play a certain tune on an in-game piano or finding certain invisible warp points.

Save the game whenever you want and continue from where you left even if you are out of lives. This capability will provide you to finish the overall game!