This is a promotional Yoyo.
It was used to help promote Sonic Advance on the GBA. It was likely available (given away/sold) at the Sega booth at E3 during the year where they released Sonic Advance 1. As you can see, it's a nice and shiny blue yoyo with a clear front that contains the game's name and large Sonic head. A yoyo is a rather interesting promotional item for a show like this, and it looks to be of good quality.