I actually liked this.
The animation was decent, no real weird mistakes, although some of the depth things made no sense. The ways they walked and what not. You should try to get more customs for first person sprites so you can easily pull off the '3D' scenery. Also, the Paper Mario idea for the turning around, you messed it up once...and the person below me probably didn't finish watching the animatino because they only reviewed things happening within the first scene.
The only thing I didn't really like about this is the chatting. I read all of it, so I could understand the plot, but I really didn't like how that talked 'too' much. Sometimes Knuckles and Sonic would blabber away too much, but you'd put that to a stop with Shadow. I know that the chatter helps give the characters life and all but you made Knuckles seem like a complete idiot, Sonic doesn't seem to want to do his job, and Shadow isn't the same person either. I think you should make it so that they are really them, and add humor using their personalities...
I also didn't like the backgrounds you drew in Flash...they didn't seem like they fit the atmosphere, and needed more details. The elevator was close, but it just didn't remind me too much of one...
There was this one part when you blurred the BG, and scrolled it. And in doing so, the v-cam slowed everything down. So you should probably fix that as well. Oh, and later in that same scene there was the Zombies walking extremely fast for their sprites. The sprites didn't look like it matched their speed.
I'm going to watch part 2 now, and I hope I get the same feeling from this one, this is pretty good and interesting. And left me wanting to know the rest.