You can, it has to be unlocked.
Sonic 3 and kunckles
lay sonic 3 and sonic and knuckles 20 times each
Kunckles in sonic 2
lay sonic pinball and sonic 2 20 times each.
Flicky
lay Dr.Robonotik's mean bean machine 30 times
The ooze and Comix zone:have a save of sonic heroes in memory card.
It's a horribly stupid way of having them locked, same with the Original.