The original Sonic the Hedgehog game, like pretty much all the games in the series, starts out pretty easy and then ramps up the difficulty to a ridiculous level pretty quickly. So it might be nice if you could practice those advanced stages, right?
Well, then good news!
If you go to the title screen
And press Up, Down, Left, Right on Controller 1, you'll hear a sound like you've collected a Ring. Then hold down the A button and press Start. Done right, you'll be presented with a Stage Select screen!
Letting you start pretty much anywhere you want.
Just be aware that if you start at the last stage and finish it, you won't see the true ending. You need to play through enough of the game to collect the Chaos Emeralds for that.