Right when the screen turns black, but before the screen flashes white, press , , , , , , , . If done correctly you will hear a chime. A "Sound Test" option should appear below Competition (similar to where Sonic the Hedgehog 2 options are). This is difficult to pull off.
Alternatively, put Sonic the Hedgehog 2 into the Sega Genesis and activate the level select cheat. Without turning off the power to the system, remove Sonic the Hedgehog 2 and put Sonic the Hedgehog 3 into the Genesis. Press the restart button. The sound test option should now appear in the same place as if the cheat above was entered.
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