Using the JTAG/RGH's ability to swap memory, you can install DLC that replaces Classic Sonic with Mighty the Armadillo, or Modern Sonic with Shadow the Hedgehog (complete with Chaos Blast SFX).

: Use a tool like XM360 to scan your drive. If the DLC appears with a "locked" icon, select it and choose Unlock DLC to make it playable.