Hmm. Well the invincibility theme from Sonic 1 is one of my favorite piece. Why? I don't know I just love it. Chemical Plant Zone, Mystic Cave Zone and Metropolis Zone for Sonic 2. Carnival Night Act 1 and Ice Cap Zone Acts 1 and 2 from 3. Carnival Night Zone Act 1 will always remind me of Jam by Micheal Jackson and now that I know he composed some of Sonic 3 it just makes me smile.
For the actual songs now I must say these ones are my favorites:
Waking Up
What I'm Made Of
Catch Me if You Can- The Zero Gravity version. wasn't to fond of the acutal Riders one
This Machine
the remix of Open Your Heart
Live and Learn
Never Turn Back
Chosen One
All Hail Shadow
Escape from the City
and last but not least....My Sweet Passion. There something about Amy Rose's theme song that grew on me. Plus the line "The Sphinx Looks So Cute I Have to Shave it" makes me laugh everytime I hear it. My list can go on and on and on but these are the one I listen to the most on my MP 3.