At the center of it all is Archie.
In Super Sonic Special 10, Scourge (then known as Evil Sonic) travels to the Underground world. Considering Sleet and Dingo for example don't have pages listed "Sleet" or "Dingo" with the "(Archie)" and are instead merged, I think it's safe to say that Underground is connected to Archie. This also goes for the Sonic Boom comics, where Sticks and other Boom characters help Prime Sonic during the Mega Man crossover. Not to mention that Fleetway characters appear in Archie as well, such as Ebony, Tekno, and Bob Beaky.
Adventures and SatAM are also unintentionally connected, since in Sonic Christmas Blast, Sally appears and is even referred to as Sonic's girlfriend. Also, fun fact: Adventures was intended to be a prequel to SatAM before the idea was dropped.
And now, we get to the main continuity. You all already know this by now, but IDW, Prime, and Sonic Channel are all part of the game continuity. Miss Wing from the Shogakunn Manga (apologies if I butchered that) makes an appearance in Sonic's 30th anniversary issue. Also, in Sonic X (which isn't canon, but stick with me here), there is a show called The Next Show, which if my memory serves me right, is mentioned to be Cream the Rabbit's favorite show in her Sonic Channel bio. I suppose the Sonic X comics could go here too, which would also redirect the main continuity to Archie, however, whether or not the Sonic X comics are canon is up for debate as there is a small contradiction.