Play through the game (with all the characters) until you get Super Sonic. In Super Sonics Adventure, go to the crashed island. There you see Knuckles and Eggman (Robotnik). After the clip, press A+B+X+Y+Start. Then choose Knuckles. Go to the same place, and there are two Knuckles! This works with other characters, too, but it's not as funny.