Ah. Yes, it was a great move by Sega and Nintendo to compile all of the best Sonic games into one, plus a few extra titles. You'll want to keep going back to it.
Sonic CD is another great game. However, it is not on Mega Collection. This game, Sonic the Fighters, and Sonic R are found on Sonic Gems Collection though, so it may be in your interest to get that game as well.