Sonic 2=Sonic 3>S&K>Sonic 1
I haven't played CD yet, I really hope it's on the 360 compilation.

Sonic 2 had my favorite stages, but it was definitely more on the RUSH THROUGH THE LEVEL side than Sonic 3, which brought back the exploration from Sonic 1. I haven't actually beaten Sonic & Knuckles (

) yet but uh, I will eventually get around to it. I really enjoyed playing co-op in Sonic 3, what with being able to control Tails (who can fly AND pick up Sonic if you're doing 2-player). Sonic 3 had the best music, hands-down. Sonic 1 was always too difficult for me, but I started playing it when I was 7.
Sonic 2 had way better specific 2-player mode though--Sonic 3's absolutely sucked.

And yeah, I'd kill for some Saturn ports, especially if they'd bring over some of the JP-only games. Dragon Force 2, the entirety of Shining Force 3, D&D... :sonic