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Knuckles lives on Angel Island, and island that orbits the sky thanks to the power of the Master Emerald, of which, he is charged with guarding. Due to his rather remote location and the fact that he rarely strays far from his duty, Knuckles is a loner, and can be quite antisocial and distrusting, but at the same time, is also extremely gullible.
You could probably tell him a hairbrush is the Master Emerald and he'll buy it.
Imagine his shock when Eggman decided that Angel Island was the perfect place to crash-land his huge space station, the Death Egg.
Eggman, realizing where he was, and realizing Knuckles had no idea of who the Doctor was, decided to rid himself of Sonic and Tails and get the Master Emerald in one fell swoop. He told the echidna that Sonic and Tails were evil people who had stolen the Chaos Emeralds were on their way to get the Master Emerald.
That was all Knuckles needed to hear from the odd-looking stranger he'd never met before who landed his sinister-looking moon-sized space battle station into Angel Island.
... Knuckles getting easily tricked into believing Sonic's the bad guy will become a recurring theme in the Sonic Universe.
Sucker-punching Sonic, he took the Chaos Emeralds, threw them in the Special Stages, and proceeded to make Sonic and Tails' trek through Angel Island a living hell. After many a trap set by Knuckles, Sonic and the Guardian finally decided their fists should do the talking. During their battle, Eggman at last found the Master Emerald and stole it right in front of the dueling pin cushions, seeing as he needn't lead on Knuckles anymore. Of course, Knuckles was less than pleased by this, and tried to stop the Eggman. He was promptly schooled in the ways of electricity by Eggman in his hovercraft, who then quickly took off in his rebuilt Death Egg.
Knuckles, now extra-crispy, was in no condition to give chase, so, to atone for his mistake, led Sonic and Tails towards the Sky Sanctuary Zone- a zone that extended into the heavens and high enough for them to reach the climbing Death Egg and board it.
Soon after, Hyper Sonic managed to retrieve the Master Emerald and hand it back to a grateful Knuckles.
Knuckles has been a (sometimes reluctant) friend to Sonic and Tails since then, sharing in on many of their adventures, getting tricked by Eggman, and catching the thieving eye of a certain white bat. But besides them, Knuckles had made friends with Chaotix, a group of misfits who then began to do the Sonic Heroes thing, only THEY do it for money.
He has appeared in the following games: