For the Genesis / Mega Drive, Sonic 1 and 2 are both poorly coded and don't compensate for the video frequency. This could give an unfair advantage, since it gives you more time to react to events onscreen. (The in-game timer doesn't compensate either, which makes one second in-game take around 1.16 seconds real-time.) Sonic 3 and Sonic & Knuckles do have correct 50 Hz coding, so it's not a problem on those games.
On the 3D side, Sonic Adventure 2 apparently has a glitch in 50 Hz mode where sometimes it interprets a single button press as a double press, which can cause unwanted homing attacks. Switching to 60 Hz mode fixes that problem.
Also note that PAL is not restricted to 50 Hz - there's a PAL60 option available on the Dreamcast and GameCube that uses the PAL color encoding with the M monochrome signal (PAL-M).
For the record: I use 60 Hz VGA on my Dreamcast, 60 Hz component video (VGA with transcoder) on my Wii, and 60 Hz NTSC-M composite video on my older consoles. (US region)