This requires you to use the actual Sega Genesis, here are the steps I used to get to the "Level Select Screen" :
1. Turn the game on.
2. Wait until the scene where you see Sonic running through the enviroment.
3. Lightly "jiggle" the game cartridge.
If you do it right, a screen will show up saying "Welcome to the level select area" (Or something in that area)
If you mess up, the game MIGHT freeze, so just restart the game.
Really good if you want to skip levels you hate playing. :)