Sonic's real name is in fact Sonic. Although other continuities and Sonic adaptations may change it to suit their storylines, in the canon games, there is no mention of Sonic's name being anything else other than Sonic.
Originally Sonic's full name was to be Olgilvie Maurice Hedgehog. His fist name has never been mentioned in any sonic adaptation, so there is no way to know if they simply scraped the idea or have yet to reveal it. His middle name being Maurice has been mentioned in several continuities however.
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Sonic the Hedgehog's real name is used to be mr. needlemouse. but sega thought that that was a stupid idea so they ended up naming him sonic the hedgehog.
Sonics home planet is mobius
it is reveled in episode 065 of the tv series, that his real name is "Humphrey Rosendorf"
They're the Hedgehogs.
Considering Shadow was apart of a scientific experiment named Project: Shadow, it can be assumed that that is his name.
Sonic the Hedgehog's middle name is Maurice.