Sonic the Hedgehog (1991) B
This is where it all began. To be honest, I never actually played this one as a kid, so my fondness for it isn't as pure because I know where the series went after this. By comparison though, it's slower (for a Sonic game), the levels are pretty hard and have a lot less variation (3 acts in each level!?) and Sonic is pretty much all you get to see. But the series had to start somewhere! There really isn't much of a story going on, so it's just a faster, above-average platformer at heart. To make Sonic go fast, you have to use physics (rolling into a ball on an incline...etc.), which is fun enough because it works amazingly well.
It's still an impressive game on its own terms, and set the standards for so many things that became staples later on, like loops, rings, monitors, bouncers, baddies, and Dr. Robotnik's insane gadgets--all of which spell great creativity and a lot of good ideas on the part of the designers. It set a new standard for all platform games and gave Mario a run for his money for the first time (literally!).
Sonic the Hedgehog 2 (1992) A+
Now THIS is where Sonic first hit his stride for me. Sonic 2 is where Sonic got FAST, because this was the introduction of the "speed dash." Now you could get him practically outrunning the screen! We also get to see Miles Prower, or "Tails," for the first time-- Sonic's ever-present sidekick and one of the funniest characters to kill off repeatedly. This game also has a "two-player" feature, which is great if you want to start a fight with your brother. It introduced the "Death Egg" device and Sonic's first time destroying it--a story arc that will connect the next couple games. Sonic 2 has a lot more levels with a lot more color, length, and variation (only 2 acts per level this time), and their replay-ability is extremely high.
I love the Sky Chase Zone (the first time you get to fly the Tails airplane), and the music is some of the best in the series (Chemical Plant!). Heck, I play this game to this day, and it's still as fun as ever. It never gets old. It's a lot easier than the first game, but certainly more fun in my opinion. The final boss is just incredibly fun to die a dozen times on, and the ending is among the best in the whole series.
Sonic the Hedgehog 3 (1994) A-
This game is even more incredible in some ways, but it also has its minor drawbacks. It was the first game to have the "temporary shield" trick, which is cool, a whole new slew of shield types, and a Tails that can actually fly on command! This is also where my favorite character Knuckles the Echidna makes his first appearance (and in this one, he's a badass!). You can also save your game for the first time, so you don't have to play the whole thing in one sitting! This second sequel follows the reconstruction of Robotnik's "Death Egg" device that Sonic destroyed in the last game (pretty much picking right up after the other one left off).
The levels are even more colorful, more complex, larger, have the best music of the series, and feature all kinds of new ways to play them besides just "running and jumping." Each act has its own boss too, rather than just one per level. All that said, there are only 6 levels in the whole game, making it the shortest classic Sonic game. The final level really isn't all that hard, and the final boss is very underwhelming (and pretty easy). Overall, there's a feeling of "that was it?" at the end, but only because it's so good you want more of it...
And this game was more of it! S&K was a direct continuation of Sonic 3 (more like a "Sonic 3: Part 2"), and follows what happens after Sonic rides the repaired Death Egg in Sonic 3. Actually, this game and Sonic 3 were supposed to be the same game, but the developers were forced to cut it in half, which is why Sonic 3 felt kind of incomplete at the end. The levels in this game are about as detailed and complex as it gets, although the game play itself doesn't differ much from Sonic 3 (but no complaints here!). Here you can play Knuckles for the first time and soon discover that he can climb walls and glide! There are more levels in this game, way more music, the bosses are harder, and the final boss is about as big and bad as you're ever going to find in a Sonic game.
To add, the really unique thing about this game was that its cartridge allowed you to lock Sonic 3 into it so you could play Sonic 3 and it back to back, which is awesome because it's an entirely different game... suddenly all those inaccessible pathways in the previous game make sense! You could also lock Sonic 2 into it and play Knuckles in the Sonic 2 levels. The only downside is there's no game save feature or even two player when playing it on its own, but play "Sonic 3 & Knuckles" back to back, and it's the best Sonic game ever made. Period.
After Sonic & Knuckles, the franchise got lost in the land of spin-offs for a while and didn't make another game until the "Adventure" series for the Sega Dreamcast... which I never played. The games they made after that have been a mixed bag, and there was a "Sonic 4" made recently, which I said earlier was okay, but didn't live up to the originals. The Genesis games are considered to be the golden age, the world of Sonic at it's best, and they certainly were. I can play them a hundred times over and they never get old.