Because I really can't think of or find another thread to post this in.
So I've taken a look at the sales of Sonic games (main series console, main series handheld, Sonic spinoffs, and Sega crossover spinoffs) recorded by Sega-Sammy's financial reports, which are available on their official website (based on the fiscal year total sales), which date all the way back to 2005. They also have a few annual reports/flash reports for Sega Corp. and Sammy Corp. individually (prior to the merger), that span from 2000 to 2004. Here's what I've found:
2004 Sega Corp. Annual Report:
Sonic Heroes (not clarified, but I presume all platforms it was released on-PS2/XB/GC/PC) (US/EU/JP): 1,420,000
"Sonic series": 2,170,000 (I know, not very helpful unfortunately). The included Sonic games could be anything.
Shadow the Hedgehog (PS2/XB/GC) (US/EU): 1,590,000
Sonic Rush (NDS) (US/EU) (the report incorrectly labels it Sonic Riders): 930,000
Sonic The Hedgehog  (PS3/360) (US/EU): 870,000
Sonic Mega Collection (Plus) (PS2/XB/GC) (US): 570,000
Sonic Riders (PS2/XB/GC/PC) (US): 560,000
Shadow the Hedgehog (PS2/XB/GC) (US): 470,000
Sonic Heroes (PS2/XB/GC) (US): 420,000
Sonic Rush (NDS) (EU): 360,000
Mario and Sonic at the Olympic Games  (Wii/DS) (US/EU): 5,558,400
Sega Superstars Tennis (PS3/360/Wii/PS2/PSP/DS/PC) (US): 565,700
Mario and Sonic at the Olympic Games  (Wii/DS) (US/EU): 4,210,000
Sonic Unleashed (PS3/360/Wii/PS2) (US/EU/JP): 2,450,000
Mario and Sonic at the Olympic Winter Games  (Wii/DS) (US/EU): 6,530,000
Sonic & Sega All-Stars Racing (PS3/360/Wii/DS) (US/EU): 1,070,000
Sonic Colors (Wii/DS) (US/EU/JP): 2,180,000
(Sonic the Hedgehog 4: Episode I (iOS) is listed, but in a "Major Titles/Other Game Content" category for mobile/web browser games that are separate from the "Major Titles/Home Video Game Software" category retail titles are in. This specific category also lacks sales numbers.)
Mario and Sonic at the London 2012 Olympic Games (Wii/3DS) (US/EU): 3,280,000
Sonic Generations (PS3/360/3DS/PC) (US/EU/JP): 1,850,000
Sonic & All-Stars Racing Transformed (WiiU/PS3/360/3DS/PSV/PC): 1,360,000
Sonic Lost World (WiiU/3DS) (US/EU/JP): 710,000
Sonic Boom: Rise of Lyric (WiiU) + Sonic Boom: Shattered Crystal (3DS): (US/EU/JP): 620,000
Will probably try to make a mini followup post that details any recorded sales of Sonic games that didn't make it to the fiscal year but were recorded on the financial quarters (I know Rush Adventure appeared in one quarter at least), but there you have it for the fiscal year sales, at least. Some (personal) conclusions:
Heroes, with the 2004 and 2006 FY results combined, at least 1,840,000 copies on all platforms. Factoring in the 2.17 millions' worth of sold Sonic games we don't what exactly they entail; and I'd say its plausible that the games' LTD sales likely passed over 2 million copies.
Rush, with the 2006 and 2007 FY results combined, sold at least 1,290,000. So it definitely sold more than one million. Couple that with Rush Adventure not appearing in any of the fiscal year results, and its safe to say that game did pretty poorly in comparison, hence the dumbed-down Dimps cousins of console Sonic Team games we've gotten since then.
Shadow the Hedgehog selling at least 1.5 million is a sales number that is actually higher than I expected.
Sonic 2006 came close to but ultimately did not sell over one million copies, like some claimed (as far as we know, at least...). I don't really know what to make of that.
For a game reportedly touted to sell over two million copies, the claims that Secret Rings came anywhere close to that amount were arguably complete baloney given how it didn't perform well enough to appear on any of the fiscal year results. It seems the game didn't sell well to hit the one million mark, which I think allowed the Storybook series to be put on the chopping block pretty quickly.