Sonic 3 and Knuckles: The final battle playing as Knuckles, I really enjoyed fighting Mecha Sonic and Super Mecha Sonic, plus the music was bloody awesome.

Also, from the same game, The Doomsday Zone. Hurtling through space dodging asteroids and missiles, chasing after Robotnik, as Super Sonic, was so awesome, plus it has the perfect music for the occasion, it REALLY fit, imo.

Again, in that game, the Lava Reef boss fight, it was a mini level actually. That game was really awesome in regards to the boss battles.