As alreadu said, those are illegal too, but it seems Sega and Nintendo aren't going after them. Mainly because people who make Sonic fangames aren't stupid enough to contact Sega and say "Hey there, we're doing something illegal, care to support it?"
Square however is less lineant on this, and has sent cease and desist letters to people who made fangames using their properties(even if that person never contacted square to give them the heads up).