I'd say,...

1. The sonic sprite has to be either a .png file or a .gif file with transparency. .jpg of .bmp files, for example, can't have transparent backgrounds.

My advice would be to open up the sonic sprites in an advanced graphics program like Photoshop, erasing the white background and then saving them as .png or .gif with transparency activated.

You could also edit every single frame of the sprite animation with Flash, putting a mask on the sprites, but that would be quite painful...

2. The frames of some of those animations don't seem to be properly aligned, that means each frame has an offset. The result is this "itching".
Do you know "onion skinning"? That could help you.
http://www.webdevelopersnotes.com/tut orials/flash/flash_tutorial_beginner_
onion_skinning.php3
With the help of onion skinning, you can check if certain points, like the feet, are always in the same place in each frame. Of course, it gets more complicating, if the character is walking or running ;-)

3. Hm, my first guess would be to pick a lower quality for the background music.

Nice

Hey, that wasn't bad, especially for a beginner.

It gets a little repetitive over time, but it's nice none the less.

The different worlds are awesome!

The three different worlds and the puzzles are great and very well done.
I especially liked the background music that changes it's style when you switch between worlds.

Really stylish!

The gameplay is clever and hard to master,
the graphics, atmosphere and aethetics are just awesome.

This game really shows what flash games can do!

Great execution!

The gameplay of this game works very well, but it's the execution where it really shines.

The graphics are done very professionelly and could compete with games like Castle Crashers. The characters are fun to look at, the animatios are well done, the music creates a nice atmosphere and there are nice little details like the parralax scrolling background.

Great work!