Version 0.2 doesn't bring too much new to the table. The menu has been entirely reworked to fit the aesthetic of the game and toned down to not be as essentially over-stimulating as it was in 0.1. Other notable changes include:

Lives also save to file once collected.
Levels are now loaded according to the stage name set from the save file and saved according to the stage name in-game. Thus, future levels will be accessible without a late code rewrite.
The main menu music has been changed from "An Empty Overture" to "Leaving Her There".
The warning has been rewritten slightly due to the menu no longer being as severe as it was in 0.1.