These are all the power ups I know how to get.

Sonic: Light shoes-Metal Harbor
Bounce Bracelet-Pyramid Cave
Flame Ring-Crazy Gadget
Magic Gloves-City Escape(Need Bounce Braclet+Flame Ring)
Mystic Melody- Final Rush

Knuckles:Shovel Claw-Pumpkin Hill
Air Necklace-Aquatic Mine
Hammer Gloves-Death Chamber
Mystic Melody-Wild Canyon(Need Shovel Claw)

Tails:Booster-Mission Street
Bazooka-Eternal Engine
Mystic Melody-Hidden Base(Need Bazooka)

Shadow:Air Shoes-White Jungle
Flame Ring-Radical Highway(Need Air Shoes)