This only works in the Japanese version. Press UP or DOWN at the title screen to reveal a "3D stage" option. This allows you to play a 3D special stage.
Enable level select
While turning on the Game Gear, hold UP. Watch the screen - as Knuckles picks up the third emerald press START. But beware starting too late in the game as you might not get all the chaos emeralds you need to finish the game.
Time attack and Sound Test
At the title screen, press UP or DOWN to reveal options for sound test and time attack.