Well Sonic 3 is the obvious one. Problem is, if you don't play last, you're sort of screwed because everyone will just copy your strat.
I'll give you a couple of good point-scalping locations:
Sonic 1: Marble 2 - you can easily pick up about 30000 points from the green bricks near the end of the level, and there's a life in a secret room (check our maps).
Sonic 2: Even better than using levels on this is to continually go into special stages, get to the last section of the level and don't get enough rings to complete it. The closer you get to the target, the better.
S&K: Even better. You can pick up all the rings in the special stage and still die - that'll give you a 50k Perfect bonus every time.
I wish we had competitions like this... Enjoy your profit! :D