Roman5: Just get the Sonic Mega collection + ,on PS2 or PC
I second that. It's a great compilation, with nice extras (Comix Zone, The Ooze, some scans of Sonic magazines).
Stay far away from new gen crap, the Sonic's you want to play first are 1 to 3 (Genesis), and Adventure 1-2, I think (<have heard good things about it, but haven't played yet)! Unless you want to have a laugh, then go play
Sonic the Fighters or Sonic Unleashed (werehog durrr).
SEGA fucked with Sonic too many times, but there are some decent Sonic titles. For example, if your looking for something more recent, Sonic 4 episode 1 is a good start. I've heard good things about Sonic Colors and the next Sonic game will bring
him back, so I hope they finally learned something from all the mistakes in the past.