I had my issues with RUSH, but overall a great game. S3&K was a blast, obviously since you can play with all 3 of the star characters of the series.
The Advance series was well executed, imo. Classic 2D Sonic gaming on a portable device ftw. Of the 3, Sonic Advance 2 was my favorite. Unless you were completely terrible (or sucked at the boss battles), it was impossible to die in that game. Plus the music in 2 was very memorable (again, imo).
I can't say I've honestly liked ANY of the 3D incarnations of the Sonic series (RUSH doesn't count).
One last note, I can't bring myself to enjoy CD. I have the Gems collection, but everytime I force myself to play it, it just... sucks. Yes I know it's the same as the Genesis games, but the Past/Present/Future shit just annoys me. Maybe it's the level design... *shrugs*