Pretty darn good
It's great to see you can do serious stuff as well, and do it well. This was actually kind of addicting for me. Some of the later stages were challenging, but sometimes in an odd order - when I got to the warehouse-like part of the stage, that was way harder for me than the boss that came afterward (or maybe it would be more appropriate to call it a miniboss - whatever). Then the game got a bit easy until the final boss, which beat me about 10 times until I actually passed it. The first boss was also a bit easier than the platforming that surrounds it.
One little unnecessarily tough part was in the portion of the game where you teamed up with that one guy. You seemingly arrive at a dead end, and by chance you discover 'oh, that's not a floor, that's an elevator'. It blends in perfectly, which isn't too great. Also, the machine gun feels useless - you don't have to use it at all, and indeed I didn't - there's no knockback when enemies are hit.
I won't spend too much time on the art. I figured people have said enough already. I do realize, however, that it doesn't make the game alone, and in all honesty, you did about as good as I could. Maybe even better. You do have time to improve for future stages, so that's something you might want to consider. Nice talent in the voice-acting department. I especially like the conversations during playtime - they add a lot of atmosphere and dynamics to the game (which is part of the reason why I like Sonic Heroes so much, when few others do). Unlockables are also a plus.
In addition, many nice little touches (thank you for skipping cutscenes if you have to redo portions of the game) demonstrate that you know what you're doing. I can't wait to play the next stages.