Yeah, the room with the falling rocks is a killer. Nasty and unfair. Luckily, there is a trick you can use to make up for it: At the beginning of the next room, there's two hearts down and to your right. Grab them and then go back up through the passage to the previous room (with the rocks), then go back down. The hearts will reappear. You won't get a speedrun time, but you can heal back up to full if you don't feel too dirty about it.
Once that's done, the spur is obviously the top choice for Hell. The snake can also do some considerable good in certain parts if you have it, the fireball in a smaller but nonzero number if you don't, and the knife or nemesis is also effective. Curly herself is very effective, having a perpetually level 1 nemesis to her name. The machinegun's kinda lousy in Hell, and terrible against the boss (or at least some parts of the battle *COUGH*secondform*COUGH*). If you feel like using missiles at any point, don't hold back, but know this: There's a huge (like, 24 or something) number of missiles in a chest right before the end, but the missiles are extremely effective against the miniboss and the final boss's last (and possibly any or all his others, if you don't have the spur) form. The bubbler is out of the action entirely, and the fireball's probably not worth leveling up; concentrate on your main weapon first, followed by super missiles or possibly a level two knife and then super missiles.