If you happened to have owned a Sega CD back in the 90s, the lucky gamer was treated before the game proper even starts to a beautiful fully-rendered anime cutscene! Featuring some spectacular moments just not possible to make on Genesis stand-alone hardware. Not to mention the iconic Sonic Boom theme playing throughout. And for any Amy fans, she's looking great for her first appearance in the franchise.
After the game, Sonic escapes an exploding planet (to be fair, it really isn't that big), rescuing Amy and stopping Robotnik/Eggman's plans for controlling time. Right after it's over, Sonic spots Robotnik fleeing in his hovercraft, so he grabs a rock, goes into a spin dash, and throws the rock right at him. A few seconds later, the hovercraft (which has already flown into the horizon) explodes, and it's all over... Damn!
Also note that this is the bad ending!
And let's not forget the intro movie, either. The look that's usually on Shadow's face, wasn't first used in the games by the black blur. It's on Sonic's face in this clip as he glares at the atrocity of the enslaved planet (CMOA for Eggman there too. Chaining down and covering the surface of a PLANET in metal). Oh, and the Little Planet didn't explode. The metal base Eggman was building over it did, though. The Little Planet comes and goes.
In addition, the scenes after that part that depict Sonic's journey could be described as one huge Crowning Montage of Awesome. Especially the part that takes place in Wacky Workbench, where Sonic lands on one of the badniks, rips its saw blade off while it's still spinning, and forces the other two to ram into each other, all before they crash into a wall.
Sonic's Super Peel Out technique. Think about it, Sonic's normal speed makes his feet blur together into a circle but at his top speed they're going fast enough that they form what looks like a solid infinity shape/Möbius strip.
The race against Metal Sonic on Stardust Speedway. It was the very first playable race in the series, and thus we had the chance to prove Sonic's speed over Eggman's metallic duplicate. Despite the few number of people who got to play it on the first go-round due to the niche of the Sega CD, it has remained as one of the series' defining moments from the game's release to the present — if not THE defining moment.