Only your first Flash? Have you practiced before?
This was a pretty good sprite movie for only being your first! Music choice was splended (seriously, where did you get the remixed Bubbleman theme?), you did not mix sprite bittages, and your effects were neat and beautiiful! Especially with Sonic's super-smooth movements! However, next time, I'd suggest animating the flames from Tails' plane so that it looks like it's propelling the plane like it does in the game, instead of having it look like just an image that's sliding across the screen. Same with the "energy blasts" super Sonic uses against Mecha. Animating those would have been minor, but also would have made it look much more professional! Also, as o_lilmario_0 stated before, it looks a bit like his movie on the front page, however, that by no means makes it bad! In fact, taking an existing idea and adding your own unique twists on it is nothing to be ashamed of, as even real games/movies/TV-Shows do it sometimes! Of course, I'm not saying that you did, I'm just talking in general here!
Anyways, with such spriting finesse and skill shown in your first flash movie, you're definetly well on your way to becoming an excellent sprite flash artist! Keep it up, and good luck with your future movies!