Hint: Ice Penguin Stage Is Important:

Here's why:

1. Gives you Dash boots, which in turn are needed to get the other upgrades.
2. Gives you Shotgun Ice, which is strong against Spark Mandrill, Maverick Spider, and Velgauder.
3. Gives you one of the 8 health powerups.
4. Also gives you Chill Penguin, who is, in my opinion, the easiest boss.