Sonic Blast Man (SNES)

Sonic Blast Man is a one-player beat-'em-up where Sonic Blastman must save Earth from evil's many forms (street gangs, terrorists, aliens, robots, and even a clone of himself) in various places ranging from a construction site to outer space.

So no, it is not a Sonic the Hedgehog game...although there's probably a hack out there which makes it one. It's a port of an arcade "Test your strength" game that might injure your arms.

Level Select
Enter the options menu and go to the Music option. Select any music track used in a stage, then hold Select and press L, R, R, L, Start to go to the stage the selected track plays in.