Horizontal underflow is possible in Sonic 1 (SMS). It is not possible in GHZ1 due to the final cutscene map being to the right of GHZ1, but it is theoretically possible in all other levels.
There are 2 conditions that need to be satisfied for this to be useful:
1. The ground level at the start of the level is higher than the ground level at the goalpost. Otherwise the underflow will occur, but sonic falls and dies.
2. There is enough room at the start of the level to reach the speed required to underflow. This speed is around the point 0x1000 and it is possible to reach this speed given enough room.
There are levels which satisfy condition 2 but not 1. For example GHZ3 has a lot more room than required:
https://www.youtube.com/watch?v=PdhRoCtrOWQ
There are also levels that have the right height for underflow to occur but not enough room to reach the speed required. Eg. GHZ2, LZ2.
LZ2 is the closest level. If an underflow occured, it would skip the entire level saving roughly 40 seconds. My best speed reaching the left wall was roughly 0x0060 short of the underflow speed. If I had 4 more frames worth of room to accelerate, the underflow would occur.
I will try to make this better and achieve the underflow. If anyone has ideas to speed up quicker they would be greatly appreciated (I'm thinking something like pause buffering BLJ's in Super Mario 64). Also, it could be possible that the GG version has enough room, but I haven't looked into this.