I've never used Sonar so I can't comment on it but I have used ProTools, it's simply the best program for recording and editing live instruments. I would say that 95% of all all pro studios run ProTools a the main software suite but Cubase SX is better for midi because of the huge variety of compatable plug-ins and VSTi's. ProTools LE would be the one to go for if you are serious about getting a foundation in the basics of ProTools before investing in the full package. I find Cubase SX very simple to use, once I bought one of those "How To" books everything became easy.
I would recommend you ook at Cubasis VST and ProTools LE and make a decision based on the features.