After Sonic 2 for the Game Gear, I believe the first collection of Sonic games I came to own was in a CD-ROM 4-pack that included Sonic CD, Sega Smash Pack 2, Sonic R, and Sonic 3&K PC Collection. Much like the Sonic franchise itself, it was good in some areas, flawed/broken in others, but endlessly fascinating all the same.
Sonic CD unfortunately wouldn't run. I believe the disk was built for compatibility with Windows 95, and I was running XP at the time. I did get a sneak peak of the gameplay once on my grandma's 95 computer, but she had zero diskspace, so the soundtrack couldn't be installed. It would be a long time before I could play CD proper, and by that time I was well aware that CD had two soundtracks, so it left me in an interesting position to where I could consider them both on their own merits without rose-tinted glasses.
Sonic R did run, and was perhaps my first exposure to PC games with convoluted keyboard controls. Rather than being set off by this, I gradually adapted to it and learned how to set up the controls in a way that was more manageable. (Perhaps because I'm left-handed, this may just be something I'm used to.)
To this day, I will contend that Sonic R is not a good game, but I am also very nostalgic for it due to its distinct Saturn charm and the PC's customizeable weather. Sadly, that also ceased to run 98% of the time once I moved over to Windows 7.
Sega Smash Pack 2 was a collection of Sega Genesis titles, most notably including Sonic the Hedgehog 2 and Flicky among others. I actually don't recall having any problems with the emulation at the time. But I was only a kid, so my memory could be selective here.
Sonic 3 & Knuckles PC collection was a little quirky in its emulation; it wasn't framerate-limited when it was windowed, so it had to be played in full screen in order to be... well, playable. There were also framerate dips on the special stages, which worked to my benefit by making them significantly easier. This was my first exposure to Sonic 3 & Knuckles, so for me this had always had the "original" soundtrack. I suppose it's mildly vindicating that it these compositions turned out to be the actual originals anyway, but that's another story altogether.
I'd be remiss not to mention the
Sonic Screen Saver that came with Sonic 3 & Knuckles PC collection, if only because it stored a treasure trove of Sonic art, a lot of it only previously seen in Japanese magazines and then Sonic Jam. Nowadays they're fairly common knowledge, but there was something mystical back then about chancing on these images, as if I had found the city of Atlantas; perhaps in part it's because there was nothing like it in the American commercial advertising or "brand" for Sonic the Hedgehog as a franchise. In retrospect, the works are genuinely whimsical and drawn/colored in a beautiful art style. To date these are still some of my favorite works.