Sonic the Hedgehog 2 was always a greatly anticipated game - Magazines were sent many a shot of the game whilst it was still in development. Most of what was seen in those early screens remains in the game that was released, but there are many changes that have caught the interests of fans.

Besides some fairly minor changes such as sprite modifications and zone name changes, the screens released showed zones that were not in the final game, such as the Wood Zone, an unnamed desert-style zone and the Hidden Palace Zone.
  

You may have noticed that in the Sonic 2 manual there is a different looking picture of the title screen to the one you see in the game. Whilst the original screen was removed, a form of it did show up in the Game Gear and Master System version of Sonic the Hedgehog, which was developed at around the same time and released a short while before the Mega Drive/Genesis version.
  

Green Hill Zone
Wood Zone
Chemical Plant Zone
Neo Green Hill Zone
Casino Night Zone
Hill Top Zone
Dust Hill Zone
Oil Ocean Zone
Metropolis Zone
Hidden Palace Zone
Sky Chase Zone
Wing Fortress Zone
Genocide City Zone
Death Egg Zone

In the released version, Green Hill Zone was renamed Emerald Hill Zone, Neo Green Hill Zone became the Aquatic Ruin Zone, and Dust Hill Zone became Mystic Cave Zone. The Hidden Palace, Wood Zone and Genocide City Zone were removed.
  

Hidden Palace Zone
The Hidden Palace Zone certainly lives up to its name - It's so hidden, it's non-exisistant. The Hidden Palace is a rocky cavern filled with waterfalls, green structures, and dinosaur enemies. It also featured a tube similar to those in Chemical Plant. Tune #10 on the Sonic 2 sound test is a remnant of the background music from the zone. Dinosaur enemies wondered about in this zone, so early rumours said that the game would involve time travel. Considering Sonic CD was being developed at the same time, it's possible that ideas between the games were changed around, or simply confused by those reporting on them.

Bat-type fellas, reminiscent of Basarans from Sonic the Hedgehog, were also present. The 'ledge' animation is the same as the one used in the original game. Some screens, probably mock-ups, featured an off centre Sonic, italicised score, time and ring information (a lá Sonic the Hedgehog). Some backgrounds that were shown were not the same as the one used in the later pictures.
Desert Zone
This zone is sometimes called 'Dust Hill', however it was probably never named. Picturs of it are most probably mock-ups, as those shown featured off-centre Sonics and enemies from another zone (such as Buzzers). Sonic 2 enemies weren't re-used zone-to-zone like they were in Sonic 1).
Wood Zone
The Wood Zone featured... well... a wood. There's little information on the zone, but apparently it was canned so early in development that the floor wasn't even programmed in correctly.