Learn to use the side-step function if you don't already. It'll turn out to be really usefull!
In every level, there's a secret room where you can found extra weapons, health and some other usefull things. They are usually walls with different textures.
In case you didn't know, the save-game function lets you save the game after each episode (7 levels) and you can restart the game from there after you have died or quitted to DOS.
There's also a "Defender" arcade-game in some levels where you can win extra lives if you manage to complete the level (kill all the green baddies). An easy way to complete the game is that you just fly in the top right or left corner of the screen and keep shooting like crazy!
On disk 2 of gloom in the dir 'misc' there is a file named 'script'. Use a XPK decruncher or Crunchmania to decompress this file. Now load the file into a text editor and you will be able to edit the script to start at any level. Now save the script and recrunch it with Crunchmania or a XPK packer that supports Crunchmania.