Aside from the actual levels, there also seem to be some "in between" areas where Sonic (or whoever you happen to be playing as) can converse with people. Think of them as RPG "villages", if you will...Sonic style!
It should be noted that the information above and following is mostly educated speculation based on screenshots and info from Japanese game mags. The Zone names are subject to change (with "Casinopolis", "Tails Factory", and "Windy Valley" being particularly tentative), and basically don't bet your house on anything you read here. But I can guarantee that the screenshots are all 100% authentic, and real screenshots don't lie. Unfortunately, because the screens come from so many different sources, they're not all equal in size. Also, since quite a few of them were scanned, the resolution leaves alot to be desired. Also, so little information was available on the ancient ruins level that I couldn't create a decent page. There's a bit of info on the Egg Carrier Zone, but so few screenshots I didn't feel it would be worth it. Having all that said...select your Zone!
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 Speed Highway Zone |  Emerald Coast Zone |
 Twinkle Park Zone |  Casinopolis Zone |
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 Red Mountain Zone |  IceCap Zone |
 None Available |  Windy Valley Zone |
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 Tails Factory Zone |  Egg Carrier Zone |