I'll echo a lot of the other comments here and say that I believe Sonic 2 has the finest soundtrack in the series. I'd follow it with Adventure, then Generations, and maybe even Colors as an honorable mention.
I definitely have the most nostalgia for the first Sonic game, and it is the one I have played the most over the years. I have every song memorized, and hearing the Green Hill Zone theme always gives me the warm fuzzies, doing its best to bring a tear to my eye. Pound for pound, though, Sonic 2 has a much larger variety and selection of tunes, and I love them all for different reasons. So many play sessions were spent with my headphones on and the volume slider on the Genesis cranked all the way up, rocking out especially hard to the Chemical Plant, Aquatic Ruin, and Mystic Cave tunes.
Adventure has some snazzy tunes and, as Retrology said, a pretty large variety, too, and really set the tone for what to expect from the then-new Dreamcast. The Station Square and Emerald Coast themes made a great first impression, and few that have played the game will ever forget the chanting from the Mystic Ruins theme. I even liked some of the goofy character themes, especially Amy's and Knuckles'. A guilty pleasure, to be sure.
Generations had some killer remixes of classic tunes, and I liked that each stage had two variants of each theme. There were so many hidden bonus tracks, such as a remix of the Sonic R theme, and the game turned me on to a lot of songs that I never knew existed, having never played the 360 / PS3 Sonic The Hedgehog reboot, Colors, Unleashed, or Sonic Adventure 2 beforehand. Yes, Retro STrife, that "Escape the City" tune is a catchy one, and I still periodically pull up the Crisis City themes on YouTube and let 'em rip. A good game, Generations, but an even better celebration of all things Sonic. Few game series have had an anniversary release that has really checked all the boxes as well as Generations did for the Sonic franchise.
Colors is such an under-rated, under-appreciated gem. Few people seem to have given it a chance, I'm guessing due to its Wii-only release. For my money, it's the best 3D Sonic game ever made, not the least bit because you can play most stages from a 2D side-scrolling perspective. The soundtrack, though, was a cohesive and compete composition, both fresh and new with the requisite familiar feel of the Sonic franchise tunes. Best part of all was a side section of the game called the Sonic Simulator, which presented levels from the game in a simplistic Tron-like style, with legit 8-bit-styled remixes of the main stage themes playing throughout. As much as I loved some of the tracks from the game, such as Aquarium Park Acts 2 and 3, the Sonic Simulator versions blow them all away.
I don't usually post outside links, but for an idea of what to expect, here's one of the Simulator tunes:https://www.youtube.com/watch?v=TqrBt_9Ng-U
Great topic! Never hurts to reminisce about some of the greatest video game tunes ever created, eh?