See that's a tough one.
Sonic one is a good movie, but it isn't so much a Sonic story as it is a road trip story. Not that there's anything bad about it, but it was more a foundation to build on. Not anything bad by any means, but I personally prefer the other two more.
The second movie is pretty damn good. We get to see Sonic go from kid to growing teenager in every sense of the word, and Tails and Knuckles have incredible story arcs! The only thing I wish they did was spent more time on Tails and growing his confidence. In the dance scene, there's a camera cut from him with a worried look to Sonic, then when we cut back to Tails he's got a wide eyed smile. Maybe it's just that specific camera shot. They just had to linger on Tails for a second longer to show him slowly building the confidence to make it work.
Lastly, the third movie. I'll be honest, because I'm broke as shit I had to watch it on the high seas, and thus the last 30 minutes were an echoy mess with the audio. But the story is top tier. It's a bit more action packed than Sonic two with debatably higher stakes, and I think Stone was done the best for his character in this movie. One thing I think that could've been done better though, is Shadow's line "Now you know the pain I've felt for FIFTY years!". Cause the thing is, Shadow's been in stasis. He didn't even know how long he'd been asleep. He hasn't been able to be conicous enough to think about it, So realistically, it's still fresh in his mind like it just happened yesterday.
All things considered, I'd have to join you in saying Sonic 3 is my favorite movie.