I will give my thoughts on what I've experienced versus Sonic.
Zelda:
I used her exclusively for almost a year and learned the game with her. My speculation was that Zelda vs Sonic would have a similar feel to Zelda vs Falcon, which is one of her worst MUs. Zelda is extremely weak to dash dancing and movement in general due to her own limited mobility. Zelda's gameplan should always be to make use of her limited dash dance coupled with wavelands and teleport cancels to pin the opponent and force interaction. It is via these multiple interactions where she can make use of her fast aerials and ability to force advantageous trades. The issue with Sonic is not just his dash dance, but his plethora of movement options that allow him to escape disadvantageous positioning. On tri plat stages smart use of dins can limit his options and increase interaction, but even so he is still hard to manage. I think Zelda can easily best an aggressive Sonic on stages like Warioware, Yoshi's Story, Battlefield, and Green Hill Zone. His movement options are hindered and his strong recovery becomes less beneficial due to closer boundaries. Sonic vs Zelda on Final Destination has come to be one of my least enjoyable MUs because of how tedious it feels. Sonic can barely combo Zelda and if he overextends he eats a lightning kick, and Zelda just can't touch Sonic.
Sheik:
Needles pose a threat to Sonic's movement and if he is flaunting his movement options it can be easy to needle him out of them. Aerial needles are good if you feel comfortable platform camping, but it is extremely dangerous to let him below you and taking that position when Sheik jumps is easily done. Sheik does not have fast options that outright KO Sonic like Zelda, but she can typically play footsies and win once he takes the aggressive stance. Needles often provoke the Sonic into making the first move, but it may not always be easy to wall him out. Nair is very good if he moves using his spins, they can sometimes trade, but nair will usually beat them out. Bair is another good option to cut off paths that the Sonic likes to travel around the stage and will generally beat all of his spin movement. Sheik has the incredible ability to convert into KO/damage options off of her 50/50 throw mixup, but unfortunately getting a grab on Sonic is quite taxing. Being able to time grabs to nab him out of movement is key. Once Sheik can get a hold of Sonic, as long as she can repeatedly force tech chases she can exploit his below average tech rolls and ideally work him to the ledge. This MU is largely defined by the ledge. Ideally sheik should never allow opponents to reach upwards of 100% because she thrives on lower% gimps. Sonic's recovery is easily one of the better recoveries in 3.5, but he took a large hit to his off stage arsenal. Homing attack being high risk leaves Sonic with spinshot, SideB to get closer to stage and UpB. Spinshot is very hard to catch if he's close to you, ideally you want to land needles while he is far away to take his double jump, and then grab ledge to either drop down and bair his UpB or invincible aerial from the ledge. Due to his low aerial mobility after UpB if he doesn't sweetspot he's a sitting duck, bait out the dair panic option then punish accordingly. Overall this MU is a mixed bag. Sonic's recovery being weakened has definitely helped Sheik in this MU, but Sonic himself still has an amazing offstage game and the tools to swat at Sheik when she's recovering before she would want to UpB. I don't think this MU feels strongly in Sheik's favor by any means and would call it 50:50 atm until further development. I believe that Sonic's ability to threaten Sheik's recovery in a potent way is a very volatile aspect in this MU.
Mr. Game and Watch:
This is my current full-time main, and tournament character. He gets a lot of flak and the term "long lasting hitboxes" gets thrown around a lot to try and quantify him winning most of his MUs. While he does have some very meaty hitboxes, I'd hardly say they are both long-lasting and potent. His best lasting move is ftilt because the flub hitbox is still fairly strong at the ledge. While he does have some big strong hitboxes, few of them are fast, but the ones that are define the MU because of the reactive nature needed to incapacitate Sonic. These being, dtilt, jab, utilt, frying pan, uair. Dtilt being frame 6 and pretty large in front of him can reactively stuff any approach from the front. It leads into combos and can break CC fairly early. It is also a monster at the edge, but it is quite hard to catch Sonic with it if he pops just above the ledge and fairs. Jab is another good option (frame 4) and leads into grab. GnW's grab will always net some type of uair string on Sonic, but do not shirk it off as an "autocombo." If you SDI and just plain hard DI perpendicular to the ground a lot of the follow ups like UpB > aerial start to fall apart. Sonic having options like SideB out of hit stun allow him to escape while GnW is airborne. Grabs are still important though, because UpB will go into Nair at KO percents and is a situation that should always be avoided. utilt covers the entire area above GnW and also will lead into uair strings, but this option isn't as fast, used more of as a read if they try to jump over the dtilt. Fying pan is amazing because it is a frame 8 hitbox and projectile. The frying pan being safe on shield isn't as big of a deal against Sonic because he's not the type of character to get locked into shield, but this is GnW's fastest aerial hitbox bar uair and though 1 frame can hit Sonic out of all of his attacks bar fair and bair. The pan has a scary angle and if you hit Sonic out of the air without a jump can leave him off stage and will force premature UpB to which GnW can dtilt or hit him out of. Bacon isn't stunning in this MU because the arc that it travels allows low profile characters to sneak under, but it is very useful much like Zelda's dins fire to control Sonic's movement. Land cancelled bacon is also near unpunishable and is something I see Sonic's trying to punish only to eat a jab or dtilt. Overall GnW's movement isn't very incredible, but with bacon and his strong punish game he manages very well. Facing Sonic is pretty daunting because it's very hard to Dash Dance back at him. It's pretty much just projectile spam to force Sonic into a corner and then catch him going above you using utilt, uair, or bacon and then going directly into a strong punish game. Conversely Sonic has standard throw combos on GnW with uthrow > aerial. On stages with small side blast zones if you DI full out to try and miss the aerial sometimes you DI the aerial out and die, or sometimes you try to DI back in to live the aerial as well and eat another fair/nair. It's very scary stuff. GnW has few options to the ground besides dair, airdodge if he hasn't UpB'd, or b reverse bacon for movement. Being pretty light Sonic's uair is scary to be above, especially with his quick vertical movement it can be hard to juke. I do think that Sonic's will find a hard time edge guarding GnW's recovery because he is not very susceptible to meteors, but he will die earlier than most from nair/bair/uair. I think Sonic's will find it annoying having to repeatedly smack GnW off of the stage, but imo Sonic is a very strong off stage character who should be focused on taking advantage of on stage vs off stage positioning and GnW's strong recovery counters his design. I think the MU is easily winnable by Sonic and actually in his favor ever so slightly if you just dash dance camp and punish laggy options in neutral with grabs, however, against most people that aren't going to full camp you especially if Sonic tries to be the aggressor I would put the MU at something like 55:45 GnW's favor. The MU can easily turn into GnW just throwing out moves until hopefully Sonic runs into them.
My opinions on other characters that I've tinkered with against Sonic.
Fox is very good against Sonic. Fox can nairplane through Sonic's everything and it is very hard to punish when followed by shine. Sonic's HA cannot hit Fox out of anything but the first few frames of UpB. Fox is one of the few characters in this game that can out-neutral Sonic in this game and can mitigate Sonic's off stage strengths by outright KOing him or shine spiking him. Fox's stronger acceleration and tighter movement also give him a strong edge on smaller platform stages.
Charizard does not feel good against Sonic. When his nair was faster maybe, but even with his solid ground speed, he has very few fast options out of it and his jab does have good coverage, but on meh DI it doesn't really covert. Zard is very good at juggling opponents with his fast uair and chasing opponents into the sky, but Sonic's spin movement allows him to escape easily, not to mention his divekick. I do think Zard has some strength in his swift strong fair and can threaten some space with his dtilt, but large characters overall against Sonic feel very meh.
Lastly, started messing with Kirby and he actually feels alright against Sonic. His bair retains essentially the same strength no matter when it hits and just cuts off Sonic's UpB. If he has no double jump and you hit him right at the ledge, it's basically curtains. Fair lasts a while and cuts through Sonic's movement and then things like dtilt and dash attack just add to the cake. I can't say much as I only recently delved into this MU, but I will say it seems promising for Kirby.