From Sonic Team’s site, the Sonic Mega Collection List
“Sonic the Hedgehog”
“Sonic the Hedgehog 2”
“Sonic the Hedgehog 3”
“Sonic & Knuckles”
“Sonic 3D Blast”
“Dr. Robotnik’s Mean Bean Machine”
“Sonic Spinball”
EDIT: Sorry, but I can’t help but comment on how disappointing this is. Every one of these games has already been ported multiple times already. I sincerely hope that this is only a partial list because this selection is really only useful for players who don’t have a Genesis / Mega Drive. Many were hoping for Sonic CD, Sonic R, Chaotix, the Game Gear games, or the Arcade games. – Vec
Also, the Sonic Advance 2 Page is up with a few more screens than IGN Pocket had. The three levels are Leaf Forest, Hot Crater, and Music Plant.
Source: Sonic Team