These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Best Level Ever: The best level in the entire Advance trilogy is, by most people's estimation, Music Plant from Advance 2. Its bright, colorful atmosphere plus very memorable mechanics make it a huge favorite among those who play any of the handheld games.
Ensemble Darkhorse: Cream the Rabbit. It helps that she is the only character who can defeat the Egg Saucer and the Egg Frog easily while being completely adorable at the same time.
Game Breaker: Cream in the second game. By pressing the B-button, Cream orders Cheese to home in on an enemy. Thanks to Cheese's short recovery period, the bosses could be defeated in a few seconds. This method was nerfed a little in the third game by slightly increasing Cheese's recovery period and not unlocking Cream until zone 6 (out of 7!).
Some of the character combinations in the third game can be this.
Note Sonic with Cream, where Sonic can not only get a fair bit of height, and use Cheese to attack enemies, but also breathe underwater, without a major sacrifice to his innate abilities, as some combinations often neuter one character.
Knuckles with Tails gives not only Tails' height skills, but Knuckles can double jump before gliding, making this pair VERY good for exploration.
Tails with Amy improves Tails' flying speed and height drastically, and allows him to use a hammer while flying. The hammer has a much larger attack radius in midair, rendering most of the levels extremely easy.
Guide Dang It: R button tricks, which are necessary in the second game in order to beat Sky Canyon, unless you're using a flight character.
Rescued from the Scrappy Heap: For those who didn't like Amy's much slower style of play in Adventure, Sonic Advance had a lot of people warm up to her thanks to her playstyle in that game, thanks to it still being fairly speedy yet still incoporating her unique moves.
Ice Mountain in the first game, especially as Sonic. As an Underwater Boss Battle with a high level of water, drowning is always a risk and jumping on the falling stalactites to make it to the surface is tricky. It's easy with Tails or Amy, but not so much with Sonic.
The boss of Sky Canyon in the second game, who is the only boss in the trilogy with a One-Hit KO attack. And yes, you have to fight it again in the Boss Rush.
The boss of Twinkle Snow in the third one, where you have to ascend platforms that fall when you touch them and get them to hit Eggman. He also has a mace which knocks you into the Bottomless Pit below if it gets you. Also, the mace can knock down platforms too, which screws you over if that was the one you were about to jump to. Basically, this boss functionally has only a One-Hit KO, can't be hit directly or by Cheese, and it doesn't matter if you can fly or not. This is one of the bosses where Amy shines at because of her awesome high jump ability.
The boss of Toy Kingdom in the third game can be somewhat irritating, as the boss spawns enemies that can be annoying to defeat if Amy is involved, and the Gemerl bomb can be hard to dodge and can easily knock you into the inescapable pit. It generally becomes easier as the fight continues, though, as the arena space increases.
That One Level: The last special stages in the first and third games have a ridiculous difficulty spike from the sixth stages. Fortunately, retrying them isn't that hard, but you can still expect to spend at least an hour retrying them.
Egg Rocket in the first game can be a pain, especially as Sonic or Amy, as the level is quite confusing to navigate and laden with bottomless pits and annoying enemy placement.
It isn't much easier with Knuckles either. It really doesn't matter who you're playing as. The level is long, labyrinthine, and has fewer and farther-apart checkpoints than the other levels in the game.
Sky Canyon in the second game can be a pain too with Sonic, as it's just as pitfall heavy as Egg Rocket. And if you don't know about R Button Tricks, you won't be able to beat it. And once you get to the boss, you have to hope it doesn't pull its One-Hit KO.