If we can't find anything useful in the OoB area, other than goal doors, maybe we should try to find nearby goal doors in each level and see if reaching them is faster than reaching the real goal.
In level 1, Wario is left sleeping so we enter the secret levels.
In level 2, the earliest point we can go out of bounds without getting stuck is in the third room but there's no goal nearby (I searched for a long time), so I think this level can be left alone.
How about level 3? I will look into this, but feel free to post about your investigations too.
Also, I and maybe jlun2 so far only searched in the OoB area randomly without really understanding much how the OoB area works (what it consists of, how it is loaded etc). I have consulted andymac about this game but haven't heard from him about the OoB area.
I only know the game uses WRAM (?) to keep track of what rooms consist of. It's not at all like SML2 where every memory address can be reached (theoretically).
In WL2, new content is loaded from somewhere (the ROM?) but we don't know how OoB works exactly...
edit:
This finishes the 2nd level 510 frames sooner by entering the OoB area in the 4th room. Maybe a few more frames can be saved in this level...
http://dehacked.2y.net/microstorage.php/info/920831235/WL2-AndyD%2Cjlun2%2Cmugg%20NEW%20WIP2.vbm
About this level 2 oob: I noticed that the section around the goal door in the OoB area (in the 4th room) can be reached in the 3rd room but it's very far away. You need to travel several screen lengths... Also, going out of bounds in the 3rd level, 1st room, I end up in the last room of that level (non-glitched, just platforms and walls...). I can go through the door that leads to the previous room and then go back to the last room so it properly loads.
Maybe this information helps.
The OoB area can't be reached in the first room as far as I tested.