The games included in this collection are:
Sonic the Hedgehog
Sonic the Hedgehog 2
Sonic the Hedgehog 3
Sonic & Knuckles
Furthermore, upon selecting Sonic & Knuckles, the player has the option to emulate the original cartridge's "lock-on technology" functionality and link up Sonic & Knuckles to any of the other three Sonic titles in the collection.
The compilation also includes a 3D "Sonic World" mode, which allows players to access virtual museums featuring Sonic the Hedgehog history, art and music, as well as videos such as advertisements and remastered and uncut versions of the animation sequences from Sonic the Hedgehog CD. In addition to functioning as a hub for these extras, the Sonic World environment also contains several time attack missions, which challenge players to tasks such as ring-collecting, reaching markers, or finding Miles "Tails" Prower. Completing all the missions unlocks the credits for Sonic Jam.
Source: Wikipedia, "Sonic Jam", available under the CC-BY-SA License.