Sonic 3, the levels were awesome the chaos emerald mini games were doable, it was our first glimpse of knuckles, and tails could fly on command but most of all MJ's music made the game for me, it was wonderful stuff.
My favorite Sonic game would have to be Sonic Adventure 2: Battle. I love how my favorite Sonic character, Shadow the Hedgehog, appears for the first time ever. I love the character development for Shadow! He is so hardcore! XD
Sonic Adventure 2 Battle (SA2 felt a bit different) or SA1 (DX felt a bit different) for the 3D releases, Sonic Battle & Sonic the Hedgehog 2 for the 2D releases.
I'm going to out and say it: all 3D Sonic games after Heroes were terrible IMO. They didn't do the things that a typical Sonic game SHOULD have done. Sonic 2006 was an embarrassment; it's nearly unplayable for me. Colors was a step up but the boost mechanic was iffy, same with Generations. The prime of 3D Sonic was in it's beginnings -- the Adventure series.
For the 2D releases, I love them all, every last one of them. I count Sonic 3D Blast in the 2D games though many will argue it's 3D in some capacity. Sonic 3 & Knuckles was great to be sure, but Sonic the Hedgehog 2 is the game that holds the best memories (almost beat it all in one sitting!) for me.