While SGC is a more reasonable and practical choice for those who want to experience Sonic CD, I would really have to suggest otherwise. The original Sega Mega CD versions would offer you the best legitimate experience possible. I say legitimate, because the Sonic CD in SGC is actually the PC version thats ported, and the PC version already had problems of its own, examples include wrong palettes for certain stages, missing visual effects for some stages, terrible debug mode, horribly downgraded sound effects, etc. (On the plus side though, the anime intro and endings look steller thanks to its recompression for the PC release). For the PAL and NA versions of GEMS, only the American soundtrack is available, for those who prefer the JP OST.
Or do what Vixy suggests, emulate Sonic CD on Gens (I would recommend the JP version for the true experience).