Plots? Yeah, but nothing too deep. Too much inconsistency and plot holes. That's why I always laugh at people who are like "is this canon?" when discussing Sonic storylines. The stores are made specifically for each game and are not meant to be 100% consistent. Yeah, they make references to other stories, and sometimes a direct follow-up (IIRC) to a certain story, but not like a huge timeline or anything. I enjoy each game in its simple, repetitive tales as a story on its own.
And if Sonic tried to do this and start anew with a long story, I wouldn't be able to take it seriously when we've got this large, blue, mickey mouse-looking hedgehog chasing some round old fat dude capturing animals, throwing them inside robots, and generally making an ass of himself for the lulz.