Regarding Tails levels in S3 & K, his levels are the same as Sonic's, with the exception that only Sonic can access the Doomsday zone (well, without glitches, but that's another story).
However, there are certain higher areas in the stages that only Tails can reach, thanks to his flight. Marble Garden has the most obvious case of this.
Also, about Knuckles in Sonic 2, there are some goofy people who will tell you that you can't beat the final boss with Knuckles because of his shorter jump height. These people are full of shit. Just so you know.
Little tip for you guys, its entirely possible to get all 7 emeralds in Sonic and Knuckles (or the super emeralds if you're locked on, it doesn't matter) within Mushroom Hill. There's a route through the level that will take you past 7 giant rings, and if you're good enough to complete them, you can be done with the whole mess before even fighting Mushroom Hill's boss.
It feels really good to get them all done if you can pull it off.
Edit:
I forgot to mention that there is one significant change in Sonic 3 when the games are locked on.
Normally in S3, Sonic and Tails will fight two bosses at the end of Launch Base Zone. The "tower" type machine that flies up and down either side of the screen shooting lasers at you, followed by the boss with "grabby" hands that will slam you into the ground if he catches you. You fought them one after the other, and the second one was the original final boss of S3.
When the games are locked on, Sonic and Tails no longer face the grabby boss, and the level ends and transitions into Mushroom Hill after the beating the tower robot mentioned above.
The grabby robot hasn't been removed though. Instead, he serves as the boss for Knuckles in the same level.
