The Wii port of SRB2 has trouble with SDHC cards (over 2GB) or non-FAT32 formatting. Fix: Use a standard 2GB or smaller SD card formatted to FAT32. Place all WADs in the root of the SD card, not in a subfolder.
This process has led to a massive explosion of Sonic content on the Wii that was never officially sold. Users can find WAD files for: