nerdy speculation alert:
While Sonic's world has shifting geography and huge assortment of locals ranging from the insane (Spring Yard Zone) to the slightly normal (City Escape), it hasn't stopped some fans from drawing out maps trying to make sense of everything. While some of the maps I've seen in the past are obviously pure fan speculation and are in no way official, they have put everything seen from Sonic 1 through to Colors in a rather plausible "world map" using information based on SA2's map as well as the names of the islands in the original Sonic games.
edit: ah hell, I couldn't find any so I just drew this up from what I remember seeing:
Sonic 1-3&K&4 would have taken place in the West/South island area as well as on Angel Island. Sonic CD's little planet was tethered to this region as well. Sonic Adventure 1 would have taken place somewhere on the coast of the United Federation continent and Sonic Adventure 2 would have taken place elsewhere in the coastal city of Central City (same area the beginning of Shadow took place) as well as on Prison Island and the areas east of the United Federation (these being desert areas). Heroes is all over the map, with Seaside Hill looking to be in the same region as South Island and levels like Rail Canyon being in the same region as SA2's Pumpkin Hill.
Sonic '06 probably took place far east of the map above, but since that game is shit I will ignore it. Unleashed takes place all over the globe, not stepping on the toes of any of the theories posted above, with one area called Empire City taking place somewhere within the United Federation possibly on the opposite coast of Central City acting as the New York of the Sonicverse, while Central City is on the opposite coast just as San Francisco is. Finally, Colors takes place out in space, tethered to some yet unknown earth location.
Of course, all that nonsense above is speculation, but it does illustrate that the Sonic world can form some semblance.