Michael Jackson and SEGA had a long history with Jackson appearing in and working on SEGA games. But his connection to SEGA goes deeper — right down to Sonic's shoes.
When Sonic character designer Naoto Ohshima was asked by game site Gamasutra the obvious question as to why Sonic's sneakers are white and red, it got a less than obvious answer: "His shoes were inspired by the cover to Michael Jackson's Bad, which contrasted heavily between white and red — that Santa Claus-type color. I also thought that red went well for a character who can run really fast, when his legs are spinning."
Also know that Sonic is blue because SEGA's official color is blue, not because he is sad that Sonic games aren't good any more.
Out of the Blue: Naoto Ohshima Speaks [Gamasutra]