Sonic the Hedgehog

Sonic the Hedgehog is Sega's mascot. He is also a rival of Mario.

Rad Mobile
Sonic had a cameo in Rad Mobile as a hanging air freshener. It may not be a physical appearance of Sonic but Rad Mobile came out before the first Sonic game, making this his first ever appearance.

Sega Superstars Tennis
Sonic played tennis with the other Sega characters in Sega Superstars Tennis.

Sonic and Sega All-Stars Racing
Sonic raced against other Sega characters in Sonic and Sega All-Stars Racing.

Mario and Sonic at the Olympic Games
Sonic competed against Mario in the Beijing 2008 Summer Olympics. His team consisted of Miles "Tails" Prower, Knuckles the Echidna, Amy Rose, Dr. Eggman, Vector the Crocodile, Shadow the Hedgehog and Blaze the Cat.

Mario and Sonic at the Olympic Winter Games
Sonic and Mario competed once again in the Vancouver 2010 Winter Olympics. Sonic now has Metal Sonic and Silver the Hedgehog on his team.

Mario and Sonic at the London 2012 Olympic Games
Sonic competed with Mario in more events at the London 2012 Olympics.

Brawl
Sega let Nintendo put Sonic in Brawl late in development. He is the second third-party character in the game, the first being Solid Snake from Konami's Metal Gear series. He replaced Captain Falcon as being the fastest character (although Captain Falcon is still playable with nerfed speed). In the Subspace Emissary, he didn't appear until the end, when Tabuu tried to do his Off-Waves a second time, a blue blur broke Tabuu's wings. That blur turns out to be Sonic. Sonic then teamed up with the Nintendo characters (and Snake) to defeat Tabuu.

Wreck-It Ralph
Sonic made a lot of cameos in the movie Wreck-It Ralph. He made a PSA about characters dying outside of their games.

Trivia

 * Sonic likes Chili Dogs