I recently had to return a Icon Qcon Pro control surface as no matter what I tried, I could not get it to work with Sonar Platinum.  I had been holding out for the Behringer X Touch, but no one has any idea if and when these control surfaces will be released.  The only control surface that seems to work with Sonar is the Mackie Control Universal Pro.  However, that is more than I can afford at the moment.  Are there any affordable control surfaces that work with Sonar?

Native "Out of the box" solutions exists for:
1) Roland VS-700. Discontinued, but it is still the best Control Surface existing for Sonar.
2) MCU. FX Control and Strip functions. No Synth. No ProChannel.
3) Automap enabled Novation. Not without glitches, but can do quite a lot.
4) Roland MIDI keyboards and VS-100.
5) Nektar Impact
 
"Third party" (well... by me...) supported out of the box:
1) Alphatrack. Discontinued but you get maximum from that form factor.
2) Federport. Less then Alphatrack, but should be usable.
 
For the rest you will either have limited functionality or be prepared to invest some time (you could do this with Qcon Pro, it could work very close to MCU after spending 1-2 evenings).

I used to use a Tascam FW-1884, a superb piece of hardware that is both a control surface and an audio interface.  Unfortunately, there are no more drivers beyond Windows 7, and I think not even a 64-bit driver for Macs.  Also, Windows changed the support for Firewire with Windows 8, requiring the legacy firewire driver and so many convoluted steps to make it work that it wasn't worth it.  Then came Windows 8.1, and now 10...
 
But it did control much of SONAR just fine, except for Pro Channel modules.