Dummied Out: Sonic was supposed to feature in the game's multiplayer mode, but was cut very early because SEGA management had qualms about their heroic mascot gunning down the other characters.
In the Gamecube and PS2 versions of the game, it is possible to control the mission character (excluding Charmy, Black Doom and Dr Eggman) assisting Shadow in a level, by plugging in a second controller, kinda like a co-op mode, however this feature is not present in the Xbox version of the game. Neither the manual or the game itself makes reference to this feature.
What Could Have Been: At one point, it was intended to show Maria's death, rather than cut away as the player hears the gun shot. It was decided that including that would make the game too dark & the age rating would have to increase, so the decision was made to cut away from the flashback instead.
Apparently, SEGA got a letter from a young fan saying how cool it'd be for Sonic to have a gun. SEGA, wanting to expand their audience, thought it was an all right idea, but thought that the gun-play wouldn't fit Sonic's character, so they gave the role to Shadow.
Before everything was toned down to fit into E-10, there was a lot more swearing, including Sonic saying "I'd hate to piss off G.U.N." note changed to "I'd hate to tick off G.U.N." in the final version In the final game, Sonic only swears once.
Sonic: Damn! They got away! I'll get 'em.
Early trailers showed enemy Black Arms spewing red blood when hit, but when ESRB announced a middle rating between Everyone and Teen, the developers changed the color to green. Of course, the aliens themselves are still reddish, not to mention the similarity of our titular hero's red blood to his otherworldly creators.
A different song was meant to be used as the main theme of the game, but it was switched out with Crush 40's songs instead.
Word of God: SEGA says that the Pure Heroic path is supposed to be canon. Given the events of the Last Story, this is slightly doubtful and has caused much confusion.
It is actually impossible to gather all seven Chaos Emeralds in one story - even including cut-scenes and those gained from boss battles.
Several interesting paths can be taken - including the all-Chaotix paths, a path in which you help out Eggman three times, a path in which you can beat Knuckles down three times, and numerous paths involving visiting Black Doom's flying temple twice.
The investigation of the Chaotix is very important in The Last Way, and there are only three ways to do it. Two of them don't involve helping Black Doom at all, and one of those only requires a general selfishness on your part. Some people believe the canon path involves helping them gather their data. This seems to give the best continuity of all the paths.