A nice attempt
A few things you need to do if you make another one:
1. Sonic has gotta be able to spin, right?
2. You may want to have a separate keyboard jump button. I found the arrow key jump a little awkward.
3. PLEASE make a "getting hurt" animation for Sonic, if you can. I was wondering why I wasn't getting hit until I noticed my rings going down.
You chose a great boss battle song, but you might want to look for a better version of it. There's a good midi of it on vgmusic.com, but you'd have to make it into an mp3 because those dipshits at Macromedia didn't include midi support in FlashMX like I told em to. Morons.
Keep up the good work.