There are three types of stages; field, sky, and lava. Each stage type has a particular character designation; field for Sonic, sky for Tails, and lava for Knuckles. You are not forced to use those characters on their preferred stage types. However some sections will be easier with the correct character. Before starting a stage, an icon next to the episode name will indicate its type (shoe for Sonic, wing for Tails, or fist for Knuckles). The background will also give a clue to the stage type.