Anticlimax Boss: The final boss in Advance 2 (at least, other than True Area 53's True Final Boss) is the only boss in the game to be stationary rather than a chase battle, which makes it much easier than almost all the other bosses. Parts of the Boss Rush to get to it tend to be more difficult, even!
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.
The third game has Chaos Angel, which is very memorable for it being one of few final levels in a Sonic game to not be in a factory or space area, instead being floating ruins. It is incredibly challenging, has great music, and looks stunning.
Breather Level: Techno Base in Advance 2 is easier than Sky Canyon before it, especially the boss battle. This doesn't make Techno Base or it's boss easy by any means, but it has a lot less of the instant death.
Advance 3 has Ocean Base Act 3. The first two acts are incredibly long and vertically designed, but the third is a lot shorter, and the only hard parts (getting crushed and drowning in an underwater section) are easily avoided by taking a different path. Twinkle Snow is also easier than Toy Kingdom and Cyber Track, the two levels it's sandwiched between. Other than the boss (see That One Boss).
Crowning Moment of Awesome: So what if it defies gravity? The ending to Advance 2 is arguably the most badass in the series. To elaborate, if one collects every Chaos Emerald with every character, it opens the secret last zone. Eggman kidnaps Cream's mother Vanilla and takes her into space. Sonic goes Super Sonic to rescue her, and he hangs onto the capsule she's trapped in as they plummet back to earth. Sonic loses his super power, the capsule brakes open, and Sonic dives to catch a hold of Vanilla while falling faster as the music intensifies. Of course, Sonic saves her, but the build up is perfect. Sonic saving the world and foiling Eggman's schemes is all well and good, but him saving a little bunny girl's mom from a villain who at that point is just doing it out of petty revenge makes the blue hedgehog feel truly heroic in a very personal way.
Disappointing Last Level: Sonic Advance 3's Chaos Angel doesn't apply completely (the first two acts are closer to Best Level Ever), but the third act of it is just standing on moving platforms avoiding obstacles and killing enemies every so often.
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.
First Installment Wins: Most consider the first game in the trilogy to be the best, as its level design and general mechanics arguably make it closer to a Sonic 4 than the official Sonic 4.
Game Breaker: Cream. She can fly anywhere she wants to, and trivializes bosses by sending out Cheese to attack from a distance. Tails and Knuckles are too, to a lesser extent, as since the levels are primarily designed for Sonic, their flight and gliding trivializes all platforming.
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 that you would expect 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.
Knuckles and Amy is basically the same, only replace the double jump with the insane ability to spin dash up walls.
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. These are in the manual though.
To get to the Special Stage in 2 to even attempt to get a Chaos Emerald, you had to collect all 7 of the Special Rings hidden through a level. Unfortunately, as a later Sonic game, it wasn't really known for its exploration and most players would end up running right past them. It doesn't help that backtracking is pretty much impossible and players would either have to memorize an entire level to get them or get the game guide with the detailed maps. And you lose the rings you got if you die.
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 incorporating 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, Knuckles 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.
The later zones in the third game, particularly Cyber Track and Chaos Angel, can be pretty damn evil with bottomless pits that are as frequent as the above examples and the level design. In fact, 90% of Chaos Angel Act 3 is a moving platform ride across a colossal pit with a lot of enemies, spikes and other things that will knock you off!