Wave.
And also Eggman, particularly when he's
hamming it up or actually being moderately competent.
Could use some more Metal Sonic, too. It was kind of annoying that he'd taken over Eggman's job in Heroes, but he makes for a great villain in his own right. "What I'm Made Of" becomes infinitely more awesome when you hear it as
Metal Sonic trying to prove he's the real Sonic.
I kind of want to go back and replay Heroes now, actually...
EDIT: Actually, toss Erazor Djinn in there, too. His relationship with Shara adds a lot of depth and makes him a lot more interesting than just "hammy villain guy."
EDIT2: And Omega.