Hi I'm new here and I've gade this game for almost a year and I was wondering..

The animals are for the chao. When you collect them, you go to the chao garden and give them to the chao. Depending on what the animal can do depends on what the affect has on the chao. You find them in hidden places in each level.

1) Phoenix - Tails - Mission Street - 3rd Chao Box.
2) Unicorn - Sonic - City Escape - 3rd Chao Box.
3) Sea Monster - Sonic - Green Forest - Behind the bush near the 3 boxes about half-way through the level.
4) Skeleton Dog - Knuckles - Pumpkin Hill - On Church Mountain behind one of the tombstones.
5) Beaver - Tails - Hidden Base - You can find one by killing one of those Monkeys.
6) Peacock - Knuckles - Wild Canyon - Near the statue head.
7) Ram - Knuckles - Wild Canyon - From where you start turn around and it's close to the Treasure Chest ahead of you.
8) Blue Racoon - Sonic - City Escape - When you get off the board after the starting part look behind the left shrub.
9) Seal - Shadow - Radical Highway - Near the start in the box that the Robot's crouching behind.
10) Rabbit - Usually in the 2nd Chao Box.
11) Purple Bird - Knuckles - Wild Canyon - On the broken pillar in the wall on the left as you go to the Lonely Statue.
12) Skunk - Usually in the 2nd Chao Box.
13) Cheetah - Shadow - Radical Highway - Near the edge where the blocker things are and the Robot that's near the pully thing.
14) Tiger - Tails - Hidden Base - Destroy the metal box on the right from the start. Bear - Shadow - White Jungle - After that bomb thing that can blow up all of the Robots break the metal box hit the switch and then Light Dash to the platform and it's on top of the pully thing.
15) Gorrila - Tails - Prison Lane - In the room where if you kill all of the Robots the gate will come down and reveal 10 rings with it.
16) Bat - Knuckles - Pumpkin Hill - Kill the flying Robot near the green button to shoot the missile at the iron cage.
17) Beetle - Shadow - Radical Highway - Under the street closed sign near the 1st Chao Box.
18) Parrot - Sonic - Green Forest - Near the jump to the Checkpoint.
19) Penguin - Knuckles - Meteor Herd - 2nd Chao Box.

I want to add something to the answer of sheiny
A rabbit can also be found on sonic's city escape next to that first pull up thing and next to a bench near the old ruin
And the quickest way to get a beetle in shadow's radical highway is before you go on the first looping stop and look on the yellow things