As far as the more recent games go, they make the gamecube-era games look fantastic. Unleashed and Black Knight prove that Sonic Team is placing SatSR-style gameplay on the same level as Adventure style. Personally, I dislike SatSR's on-rail gameplay, so I'm not going to buy either Unleashed or Black Knight.
As an individual character, Shadow's gameplay peaked when he appeared in his own game. His chaos powers worked well, and the guns were an effective way to balance out enemies with health bars. In 2k6, Shadow dealt with health bars by being able to tag on extra attacks at the end of his homing attack, which didn't work. In addition, having guns unique to the vehicles didn't work in 2k6, because the vehicles became more important for their firepower than their methods of transportation. To top it all off, Shadow's chaos powers suck in 2k6.
In terms of Sonic, he's been all over the map. Heroes had some unique, combat oriented aspects with the whirlwind and power cores. The power core system was awesome because it enhanced the abilities Sonic already had without adding in any more. In 2k6, Sonic's upgrades most tried to emulate SA2, except there was a cooldown time on everything, so it's impossible to homing-attack straight from enemy to enemy, and also to use the bounce bracelet in rapid fire succession. Sonic's gem system also didn't work, mostly because the red gem (time control) was better than everything else.
I feel like I really should've said something about Unleashed or SatSR so that this isn't a topic-derailing post, but I don't want to type any more.