The games Comix Zone and The Ooze are only available in the Japanese version of Sonic Mega Collection. They can be unlocked through button codes:

• Comix Zone - Press Up, L, Down, R, Up, Z, Down, L, Up, R, Down, Z in the Options menu.
• The Ooze - Press Z, Z, Z, Up, Up, Up, Down, Down, Down, L, R, Z in the Manual menu.

Both games were eventually included in all versions of Sonic Mega Collection Plus, which was released for PlayStation 2 and Xbox.
Contributed by Mr. Kite
At one point in development, Sonic CD was going to be a playable option in the game. The entire European manual was scanned and is fully viewable in the game; however, no known prototype exists with an image file of the actual game (some people have chalked it up to size constraints and others to technical constraints). There are also two listings in the same prototype for "Sonic the Hedgehog the Movie 1" and "Sonic the Hedgehog the Movie 2," suggesting that the OVA was going to be in the game as well, and would have been split into two parts like the original 1996 Japanese VHS release.
Contributed by SonicManEXE
There are unused movie files in the game. The names of the files are: sample.sfd, loopbgv.sfd and smpinter.sfd. These were made to show off CRI's Sofdec video compression capabilities and are not related to the Sonic series.
Contributed by dagamer5091