Shadow The Hedgehog's favorite game is Burnout 3. Yes, it's actually canon. Shadow had an "interview" in 2005 and one of the questions was about his favorite game. He answered with Madden, street fighting type games and Burnout 3.
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Now you know this obscure fun fact that probably no one knows except for maybe 100 people.
And now because of this revelation I am now officially a Shadow fan. Yay.