There are a TON!

Look for any large Sonic shrine site, and you'll find the complete list.

Here's what I remember, offhand:

(SMS)--Sonic1
(overseas SMS had all of the GG titles for it as well--Sonic 2, Spinball, etc. etc.)

(GG)--Sonic 1, 2, Triple Trouble, Sonic Chaos, Sonic Drift (1&2, I think), Sonic Labyrinth...I think a few others.

(Pico)--A few games, all edutainment style.

(Genesis)--Sonic 1, 2, 3, S&K, Spinball, Wacky Worlds (a mouse driven art program, ala Mario Paint)...and a kids game that I've forgotten, (also "Sonic Crackers", which was an unreleased hybrid. I don't know if that counts), and Sonic 3D Blast.

(Sega CD)--Sonic CD

(32X)--Knuckles Chaotix, which technically isn't a Sonic game, but who cares.

(Saturn)--Sonic Jam, Sonic 3D Blast, Sonic R, (Sonic Xtreme, unreleased)

(System 32)--Sonic Arcade ("Segasonic the Hedgehog")
(Model 2)--Sonic the Fighters

also various kiddie ride-type Sonic games. Think of Chuckie Cheese.

(DC)--SA1, SA2, Sonic Shuffle

I don't really know what all is on computer (I have Sonic R, 3D Blast, Sonic CD, and "Sonic Collection" for PC, but there's certainly more), or GC/Xbox/PS2

Anyway, that should be a good start. I'm guessing I've left out 10-15 relatively obscure Sonic (or related) titles, but who cares.