Not really a cheat, more like an easter egg. In City Escape's skateboarding section there are posters on the fences in the level. They have a picture of Ray the Flying Squrril(SegaSonic the Hedgehog) and Mighty the Armadillo(SegaSonic the Hedgehog,Knuckle's Chaotix). The caption says "Ray the Flying Squrril and Mighty the Armadillo. Missing since 1993!" 1993 was their last appearence in a video game. Ever since then, they have been missing!
To unlock the first version of Sonic the Hedgehog, purchase the SEGA controller from the shop at the left of Green Hill Zone. You then need to take it to the SEGA console found at the top left of Green Hill Zone and you will be able to play the original version.
To unlock the Statue Room in Sonic Generations, you need to go to the Collection Room with Sonic and place him at the right of the Movie Chair but to the left of the Art painting. If you then hold down the Select button, Sonic will go through a trapdoor into the Statue Room.
In the Statue Room, you can get various statues using passwords.