Sonic Jam is still the best Sonic compilation, in my opinion. Using the Sonic & Knuckles cartridge in that was just like using the real thing (minus the bullshit about unlocking the roms found in other compilations).
How many Sonic compilations were there? I can't even keep track.
1. Sonic Compilation (Genesis/Mega Drive): includes
Sonic the Hedgehog
Sonic the Hedgehog 2
Dr. Robotnik's Mean Bean Machine
2. Sonic & Knuckles Collection (PC):
The collection includes:
Sonic the Hedgehog 3
Sonic & Knuckles
Sonic 3 & Knuckles
Blue Sphere
Some of the stages' music was removed and replaced with inferior tracks.
3. Sonic Jam (Saturn): includes
Sonic the Hedgehog (with added spinball!)
Sonic the Hedgehog 2
Sonic the Hedgehog 3
Sonic & Knuckles
Sonic 3 & Knuckles
Knuckles in Sonic 2
Blue Sphere
4. Sonic Mega Collection [Plus includes the SMS games] (PS2, Xbox, GCN)
5. Sonic Gems (GameCube exclusive in the US, PS2 version available in Japan): includes
Sonic CD (Sega CD, port of the PC version, ported by Sonic Team)
Sonic the Fighters (Arcade, ported by Sega-AM2)
Sonic R (Sega Saturn, port of the PC version, ported by Traveller's Tales)
The collection also includes the six Game Gear games that were absent in Sonic Mega Collection Plus:
Sonic the Hedgehog 2
Sonic Spinball
Sonic Triple Trouble
Sonic Drift 2
Tails' Skypatrol
Tails Adventure
The two unlockable games in all 3 regions are:
Vectorman
Vectorman 2
The other four unlockable games are only in the Japanese version:
Bonanza Bros.
Bare Knuckle (Streets of Rage)
Bare Knuckle II (Streets of Rage 2)
Bare Knuckle III (Streets of Rage 3)
6. Sonic's Ultimate Genesis Collection (PS3, 360) : includes
Alex Kidd in the Enchanted Castle
Altered Beast
Bonanza Bros.
Columns
Comix Zone
Decap Attack
Ecco the Dolphin
Ecco: The Tides of Time
Flicky
Gain Ground
Golden Axe I
Golden Axe II
Golden Axe III
Kid Chameleon
Phantasy Star II
Phantasy Star III: Generations of Doom
Phantasy Star IV: The End of the Millennium
Ristar
Shinobi III: Return of the Ninja Master
Sonic the Hedgehog
Sonic the Hedgehog 2
Super Thunder Blade
Vectorman
Vectorman 2
The following games are new to this collection:
Alien Storm
Beyond Oasis
Dr. Robotnik's Mean Bean Machine
Dynamite Headdy
E-SWAT
Fatal Labyrinth
Shining in the Darkness
Shining Force
Shining Force 2
Sonic 3D Blast
Sonic & Knuckles
Sonic Spinball
Sonic the Hedgehog 3
Streets of Rage
Streets of Rage 2
Streets of Rage 3
It is unknown at this time if any of the three lock-on games (Knuckles in Sonic 2, Sonic 3 and Knuckles, and Blue Sphere) will be included in this collection.