Yes, you can start as her. Choose Samus while holding R on a GC/Classic controller, or Z on your Wiimote+Nunchuck, until you get to the level selection screen.
But the best thing I learned was about Mushroomy Kingdom. For some reason, every time I played that level it was underground. I never even thought there was a ground level (although the picture in the selection screen had me wondering). Then I found out you can press buttons and choose either part. Two levels in one!
