In 1993, due to Sonic's popularity, he got an appearance in the Macy's Thanksgiving Day Parade . The only 3 other video game characters to ever be in the parade was Pikachu from Pokemon in 2001, Eruptor from Skylanders in 2014 and Red from Angry Birds in 2015. The Virtual Sonic version of the Sonic Spinball main theme played in the NBC footage. Unfortunately, the balloon popped after colliding with a lamp post at Columbus Circle, injuring an off-duty Police Officer And a child. On NBC, Footage from its test flight was used.
In 1994, The balloon was repaired so it could be used as a decoration during the Sonic the Hedgehog 3 launch event in Punxsutawney. The Balloon reappeared for the next Macy's Parade that year, Sonic was the lead balloon that year, he did not smash into a light, and co-host Katie Couric referenced this by saying "He ran into a little trouble last year cause the winds were so high, but we are glad to see him doing well this year." 
In 1995, The balloon appeared after the Sega sponsored Pico Bus, However he managed to smash into a lamp post once again during the route. On NBC, footage from the 1994 parade was used, and the accident wasn't mentioned by the hosts. 
In 1996, He flew without problems, and was the 4th to last balloon in the parade that year. Even though "Spinball Theme" played that year for the balloon, The theme also played on the Cheerleader float behind the Balloon.
In 1997, Due to very high winds, Sonic could not even fly due to major damage. So once again footage from the 1994 parade played. Co-Host Katie Couric referenced the accident, by saying "This guy's also cool, way cool although he's a bit deflated, But thanks to the wonders of video tape, he's still the dude with the toode". Sonic was retired after that year. There were 2 reasons why he was retired. 
1. He was too large and big for the new balloon rules (Sonic was 64 feet tall and 26 feet wide, so if he was in the air, the entire balloon would be 78 feet tall over the ground, 8 feet short of the new height rules of 70 feet).
2. The Sega Saturn had flopped, and Sonic was not becoming popular enough after Sonic X-treme's cancellation.
A new Sonic balloon was made in the 2011 Parade for Sonic's 20th Anniversary . It was a 350lb. balloon, featuring the modern incarnation of Sonic. He lead the parade off that year (behind star-shaped balloons with the words "Macy's"). Splash Hill Zone Act 1's from Sonic the Hedgehog 4: Episode I theme was in the background. 
The balloon reappeared in the 2012 parade, he was the 5th to last balloon that year. 
In 2013 Sonic was the second character balloon shown (after Snoopy and Woodstock from Peanuts). He did suffer a mishap that year, His left arm was caught on trees and had to be cut free but did not get damaged. 
Sega confirmed in 2014 that Sonic would not be returning to the parade after 3 years.
Despite the Sonic Balloon not appearing at the 2014 parade, Sonic the Hedgehog's title screen music was played as a part of a Video Game Medley from a marching band.