Thanks to Adamis, Soly, and Nemesis! Dream Avenue has a copy of the Sonic Heroes alpha and has kindly taken a ton of screenshots.
Possible Zone List, New Pics
More New Pics
New Zones & Menus (Character Select, Sound Test, etc.) Directory
Team Blast & Special Stage Directory
The zones confirmed so far:
Seaside Hill / Ocean Palace
Great Metropolis
Power Plant
Casino Park
Bullet Station / Rail Canyon
Jungle (Unknown name)
Sky (Unknown name)
Mad Express (a level on top of a train, may be 2p only)
Sonic Heroes has 7 multi-player modes, including racing and bobsleds.
The Team Blast moves of Team Sonic and Team Rose are pictured.
There is a special stage and it looks like a cross between the Chaotix and Sonic 2 special zones, with a race with a chao hot air balloon thrown in.