2 fun exploits existing in the current version (1.41) :
1) It's possible to "quicksave" and return to it if you die. Basically, every time you exit to the main screen and then click "continue" you save. If you die, immediately pause before the "dear diary..." screen and Alt-F4 out of the game. You can then start it back up and the continue point will still be there. Useful for the Lost if you like cheating.

2) On the Krampus fight, when you beat him, pause the game as soon as you see that Krampus' item has spawned but before his death animation has ended. Exit and continue, and Krampus will still be alive but his spawned item will still be there. You can repeat this as many times as you like, although you'll just end up with a bunch of lumps of coal and krampus heads. Unless you have the D6, which means you can get a roomful of free devil room items...