Buy it if you own Sonic 3. It adds the S&K levels to the S3 game and 2 more save slots. This was the way it was meant to be played.

As for Sonic 2, it just lets you play as Knuckles, nothing else.

And for Sonic 1, it lets you play any level of the blue sphere bonus stage. To play as Knuckles in Sonic 1 you will have to download a ROM hack.