If you pre-ordered Sonic x Shadow Generations or bought the expensive Deluxe Edition, you’ll have access to a few character skins you might not even be aware of.
There are a couple of skins available, including the Terios skin for Shadow in the Shadow Generations storyline and two old-school skins for both Modern and Classic Sonic in Sonic Generations mode, but trying to find out how to change your character skins while playing isn’t exactly explained well.