There are 3 basic types of comics to collect. First, in America, the widely available Archie Series. The now discontinued Fleetway Series was available throughout Europe...mostly. Japan produced a few offical "One-Shots" in various Sega publications, but these are rather hard to come by. Also popular in Japan (but equally difficult to find) are Doujinshi, or Fan Comics which DO get published and sold.
Want to see all the comic covers? Use:
Cover Browser Archie Sonic
Cover Browser Fleetway Sonic