Well, there's obviously
the Black Market, which made it into the GC version and beyond, although some other Chao-related settings may not have made it. There were World Rankings ala Sonic Adventure 1, and
a lengthy cutscene involving the President and Secretary. (In fact, the Sonic X anime makes direct references to scenes that we later found out were supposed to be in SA2, so they must have been working with a development script instead of the final draft).
Eggman also spelled out their temporary alliance in no uncertain terms, claiming he would use his own power to take over the world. And Super Sonic and Super Shadow were going to be available in 2P Mode, being super-fast but dying if they ran out of rings.
Then there's the less blatant stuff, like seeing Sonic in shots for Sky Rail, lending credence to the rumor that the game was originally just about Sonic, Knuckles and Eggman being playable. But they also tried to keep Shadow and Rouge ("Nails" possibly) a secret for as long as they could, so maybe Sonic was just there since he was compatible with the stage mechanics. There was a branching pathway system to the levels planned, including an "escape the submarine" scenario described, although the branching pathways didn't really appear until Shadow The Hedgehog. Which also referenced the President again,
who made specific references to Sonic Adventure 2 (photo scene, although it doesn't make a ton of sense why he has it, unless it was post-Heroes).
Shadow himself has a few little details too,
like how he was originally named "Terios", and there might have been fights over this name being used, but I can't locate a source for that. There was also something weird going on with Shadow's eye in the
Dark Side Story Preview:
Could just be a rendering bug (you can see through Eggman's neck in the shot right beforehand, I think that's the case in the final game too), but I often wondered if Shadow was supposed to betray more of his "artificial" side.
So, there's a few things.