Sonic 3&Knuckles, (All characters, start to finish, multiple times.)
Sonic 2 (I was happy when I finally beat it without cheats)
Sonic 3D Blast (Genesis) I use cheats everytime I play it, so I'm sure it wasn't from start to finish.
Sonic CD (PC/PS3)
Sonic Adventure 2
Still can't beat sonic 1 without cheats, though, I haven't tried recently. I'd rather play sonic 3&k anyway. I don't like any of the newer sonic games. Sonic Adventure 2 is my cut-off point. I might go back and play sonic 1 again, just to beat, but, some of those stages, i just don't feel like running through. I can't recall anything that sticks out of my mind as being too hard, other than labyrinth zone, but, outside of that, it's not difficult.
Sonic 3D Blast is an annoying game to play. I hate Gene Gadget Zone... if that's the name of it. Never going to attempt finishing that game.
All games played on the original console. Genesis, or Dreamcast. Never had 3D Blast on Saturn, and I refuse to play Genesis titles on PS3 when I can already play them perfectly fine on my Genesis. Learned my lesson with Sonic Mega Collection +... I already own all the Genesis titles from that collection and hated that emulator. Every sound in MC+ was off, or had some issue.