Hey, It's That Sound!: After Sonic and Tails beat up Eggman's/Robotnik's minions, they disappeared with a familiar how Pokémon escape from their Poké Balls.
Name's the Same: Pajama Sam also has a place called the Land of Darkness. (Bizarrely, Sonic the Hedgehog: The Movie's initial Japanese release was on the same day that Pajama Sam in No Need To Hide When It's Dark Outside was revealed at E3.)
Keep Circulating the Tapes: Ever wanted to get it after 2004? New copies haven't been released since then, and it is pretty rare to find it. Got fifty bucks if you go on amazon.com? Unless you're a good bargain hunter, that's the cheapest it goes for.
What Could Have Been: As on the main page, the OVA is actually an unsold pilot for a cancelled anime series; what we think of as Sonic: The Movie is actually two episodes back-to-back, but thankfully they stand well together on their own.