Disclaimer - I don't own the Sonic characters.
Once, every month, the Sonic gang gets together to pretend. They gather at a secluded area in Mystic Ruins where trees and grass are enclosed within the crumbling walls of what once had been a great hall. There are many chairs scattered around that had formerly sat before the large table at the hall's center, but have since been pulled away to aid in imaginary pursuits.
Two years ago, Sonic initiated the first gathering. Twelve at the time, the idea was conceived while listening to a conversation between Amy and Tails. Tails asked Amy if she remembered what her parents were like, and Amy replied, "No. But sometimes I imagine what they were like. And sometimes before I go to sleep, I like to pretend that they're there, tucking me in and telling me to have sweet dreams, and that they love me." As Amy said this, a faraway look trickled into her eyes—a look that was sad and lonely but happy all at once. And Sonic, looking at her, wondered if he too could be happy despite the sadness and loneliness that a lack of parents and a lack of memories of them caused. So he created Make-believe Day—a day of imaginary parents.
"Knuckles, my dad said your dad raised an idiot." During each gathering, Amy's imaginary parents always argue with Knuckles' imaginary parents.
"Well, my dad said, better an idiot than a hussy."
"Oh yeah! Well my dad is punching your dad."
"Oh yeah! Well my dad is kicking your mom."
In the end, Knuckles' parents always end up groveling at the feet of Amy's. The Chaotix tend to watch this ludicrous exchange while munching on imaginary chips.
Invited to join the group one year after the gatherings had begun, the Chaotix created one set of imaginary parents that they all shared. "We're family," Charmy had insisted. "So we got the same mom and dad." And so they did. Espio insists that he is the favorite. Vector argues with their parents, demanding to know why he always has to babysit. Charmy asks if they love him very much, and smiles when Espio and Vector assure him that their parents do.
Cream and Shadow are banned from the gatherings. The banning of these two was unanimous. The reason behind banning Cream is that she has a parent—a real, living, breathing parent and a slew of memories that they two share. The reason for banning Shadow was that, as messed up as having Gerald for a father is, Gerald created him (their pretty sure) and so Shadow had a dad—never minding he can barely remember him.
Eggman has no memories of his parents and often wonders if he ever had any. Knowing this, Sonic invited Eggman to their gathering. Eggman joined them one Make-believe Day, but after the day came to close, and he was invited to join them again next month, Eggman declined. His reason: "It hurts too much once you stop pretending."
Sonic understands what Eggman meant by this. The older Sonic gets, the harder it is for him to make-believe. And not because his imagination fails him. No, his imagination is all too real, and the reality of his imaginings hurt. Because they aren't real. No matter how hard he imagines, or how badly he longs for it, it will always be just pretend. And he can't stand it. Pretending just isn't enough anymore; though he make-believes harder than anyone, wanting desperately to go back to those days of his childhood when pretending could fill the gaping hole in his heart.
If not for Tails, Sonic would put an end to Make-believe Day. But Tails needs to make-believe, Sonic believes. Tails needs a mom and dad.
Despite Sonic's beliefs, Tails does not care for make-believe day. He only participates because Sonic participates. Tails' imaginary fox parents are nothing to him. They aren't real, and so he doesn't care for them, just as he doesn't care for make-believe day. To him, make-believe day is a day of foolishness. He cannot understand the concept of talking to someone who isn't there, of believing in something that doesn't exist.
However, Tails does have a favorite moment of every make-believe day. It is the end, when Sonic takes his hand, and they walk away, side by side; and Sonic, looking down at him, asks, "So how did it feel talking to your parents today." And Tails, holding Sonic's hand just a little bit tighter, smiles and says, "It feels great."