Nice First Flash, Awesome Potential!
For someone's first Flash animation, this was very good! Except for a few compression artifacts in the beginning, I have no complaints about the graphics or animation at all. It shows that you put time into getting things right with your first submission, and, in fact, I believe that this series has the potential to be almost as good as Super Mario Brothers Z. Congratulations!
For constructive criticism: the story initially leaves too many questions unanswered. Who or what is the U.R.C.? What is the significance of the relics, and why did Sonic "vow" to retrieve them for the U.R.C.? In what way was Sonic supposed to "sense" his enemies as they approached? These questions can certainly be answered in future episodes, although I suggest answering the more critical questions as quickly as possible.
Also, it's good that you acknowledged and plan to correct the spelling mistakes in the captions. I would caution you, however, that spelling isn't everything; the captions in this submission need serious proofreading for style and grammar as well.
Since I see the enormous potential of this submission as a series, I'm willing to personally assist you in these matters. Private message me if you're interested.