When you start
Nervous Brickdown, you are presented with five choices. Shuffle randomly chooses any board that you have unlocked for you to play. When you beat it, it'll pick another random board, could be from the same world, could be from a different one. Shuffle just keeps cycling through boards until you decide to quit or until you run out of hearts. There is no continue option in Shuffle, but then why would you need one, since it doesn't keep score of how many boards you've passed or anything like that.
Arcade is the main game in Nervous Brickdown. You start out with the choice of two worlds to play in and five hearts. At the beginning of the world, you'll be given a very brief description of how you can move the paddle in this world and what you need to do to earn the bonuses. Each time the ball gets past your paddle, you lose a heart. When you run out of hearts, you die. After every three boards, you hit a checkpoint where the game autosaves. This autosave gives you a point to go back to after you've died, so that you don't have to start the whole world over. At any time, you can go back and play any of the previous boards from any world.
Multi is another of the options. Multi lets two people play off of a single cartridge. Each player has the same thing on their screens, and they're both controlling the paddle. There's two colors of blocks on the screen, when the ball hits a yellow brick, the paddle turns yellow and one player can move the paddle. When it hits a blue brick, the ball turns blue, and the other player can move the paddle. Honestly, it's about as boring as it sounds. Nervous Brickdown isn't a great multiplayer game in my opinion.
The Bonus option lets you see all of the bonuses that you've acquired for the medals that you've gotten. When you get a medal for every board in a world, you unlock the music for that world, and you can play it in the Bonus area. Finally, the Options choice lets you configure the game language, erase your data (there's only one save file available), and view the game's credits.