Play With Tails Following You
First, at the character selection screen, highlight Sonic. Then, highlight Tails and press Down. Next, highlight Knuckles and press L. Next, highlight Amy and press R. After this, highlight Sonic and press A to select him. Tails will now follow you during the game (but can not be controlled).

Moon Zone
To unlock the Moon Zone, collect all seven Emeralds for all characters, then complete the game with Sonic.

Three Extra Sound Test Songs
Complete The Moon Zone or unlock the Super Sonic Ending to unlock three extra songs in the sound test mode.

Go to: Sonic Advance Info Page | nGaming Home Page.