From Sonic Retro
Starting with Sonic the Hedgehog, each Zone is in a specific area of the world, and Sonic runs through these areas to reach Dr. Eggman. They are linear, going from beginning to end, and are littered with Badniks and various traps which Eggman places to impede his progress. Almost every game in the franchise has Zones in an abstract sense – for example, Zones are what the Action Stages of later 3D Sonic games are based upon – but not all use the series’ now-iconic naming format of [Level Name] Zone, particularly in recent years.
The earliest example of a departure from the latterly mentioned original naming pattern is Sonic the Hedgehog CD, which instead uses the term Rounds to refer to its overarching levels, though unlike the standard Zone terminology this is not appended to the level's name on-screen. Somewhat confusingly, CD uses the word Zone to describe what other games call Acts: separate sub-levels within a Zone and sharing its theme, whose number varies between different games, usually two or three per Zone.
In other media
Zones exist in other media as well. Sonic the Comic uses Zones extensively to separate parts of the world.