I'm particularly fond of Angel Island Zone in Sonic 3. Knuckles knocking Sonic out of his Super form is quite a message to send to the player about Knuckle's strength. Not to mention, the music of Angel Island changing its sense of urgency from Act 1 to Act 2 after the island catches fire makes it all a very memorable set piece to open the game with.
(Sonic really has some great openings!)
(Sonic really has some great openings!)