I haven't played many of the new Sonic games but was very fond of playing them on the Genesis back in the day. I have also purchased DL versions of some of the games on PS3 and the 360 (most recently playing Adventure 2, which I really love, actually). I do own the Sega collection which has a nice collection of the older Sonic games and some of the spin off like games (Spinball, for example) and I have enjoyed every moment I've spent playing them! I also really liked Sonic Heroes when I had it on my PS2. But, if I had to choose my ultimate favorite Sonic game, I would pick Sonic 3. It has been my favorite Sonic game since I was a kid. I don't think any other Sonic game could top it, but I would like to play Generations.
I do have to say that I always enjoyed the story behind Shadow, so I have tried to play games that have included him in them. Never got a chance to play his spinoff game though.