Sonic 3 and Sonic & Knuckles (yes, serparate) are my favorite games, if only because I have played them since I was 3 years old. I still remember getting really excited every time I got into a new zone, and being pissed off every time I had to get off, because the save system was borked for some reason that I still haven't figured out :(
Sonic 1 and 2 are still relatively unknown to me, but I think they're a little bit inferior to the aforementioned games. A little bit though, they're still very fun games.
Sonic CD is even more unknown to me, having only played it twice, but it seems like a fun and confusing game.
I have also played the Sonic Advance series. I think they're not that fun, and I don't like the art style of them either. Sonic Advance 1 and 3 were forgettable and Sonic Advance 2 was just boring.