Disclaimer: haven't played Lost Worlds, 4:ep2, Rush Adventure or Dark Brotherhood. Also haven't completed Chaotix, Shadow, Heroes, or Colors (yeesh, what kind of sonic fan am I?). That said...
1) Sonic Jam--jk, Sonic 3 & Knuckles (yeah, it still seems like cheating)
2) Sonic Adventure (up there with Super Mario 64 in initial "wow" factor)
3) Sonic Generations (nostalgia overload)
And now I feel obliged to continue.
4) Sonic 1 (first game I ever owned, probably beaten it more times than any other game)
5) Sonic 2 (minus the last frickin impossible special stage)
6) Sonic Adventure 2 (first game I defended to the death on forums)
7) Sonic Unleashed (daytime please)
Never quite warmed up to Dimps' efforts. Never felt the love for sonic cd that some do, though it's awesome in its own right. Most hated sonic game: sonic Xtreme--its cancellation caused me so much heartache, and 3D Blast was no great consolation.