The Little Planet (called the Miracle Planet in the Japanese instruction manual) is a mysterious moon of Sonic's home planet, which functions as the setting for Sonic the Hedgehog CD. It only appears for one month of every year, in the skies above Never Lake.
The planet hosts the Time Stones, gems that are coveted by Dr. Robotnik due to their mystical ability to control time. Robotnik chains the Little Planet to a giant rock (engraved with his own face, no less) and quickly begins work to transform the entire planet into his new base, using time travel to take over the past and thus control the future.
Seeing this, Sonic sets off to foil his nemesis's latest scheme, and eventually sets the Little Planet free by destroying Robotnik's base and the rock which the planet was chained to. Released, the Little Planet rises up for a short distance, then completely vanishes.
The US instruction manual adds that the Little Planet is normally covered with lush vegetation including tall trees and flowers, but at the start of Sonic CD has been metallised by Dr. Robotnik, and as such is covered only in grim, grey steel.