I'd have to go with Sonic & Knuckles.
It's the final installment of the Genesis Sonic titles, and I believe it is the finest. Sure, it may be the second half of Sonic the Hedgehog 3, but what a finale. The story is told flawlessly as you speed through the stages (Seeing the Death Egg buried beneath the earth while speeding through Lava Reef Zone is definitely a magic moment, and then to see it rise into the sky as you race through Sky Sanctuary Zone... priceless), the music is incredible (once again, I must go back to Sky Sanctuary Zone, my favorite video game track of all time) and the final stage is enough to challenge any Sonic fan. And of course, the final level is properly named. In Doomsday Zone you fight Robotnik (yes, you know a Sonic game is good if he's named Robotnik) in his largest and most intimidating creation yet (Puts Sonic 2's final fight to shame).
OK, now I'm just rambling, but It definitely needs it. It's a fantastic game. Plus it comes on the console with Blast Processing. Sega does what Nintendon't. (Or something.)
Oh, and I have to give some brownie points to yungmagic09 (Sonic 3), maxlokin (Sonic 1), Nickelbackro (Sonic 2), and allaboutthegame885 (all of the Genesis ones :P) for their stellar choices. 