I burned a CD to a WAV format from Sonar Producer.  It plays of course on my MS based computer, my car stereo, but not on some CD players.  What format should I use so it plays anywhere like a CD that I purchase?  Thank you for the help.

Any software that makes an "audio" CD.
 
I use Nero. It was free with some CD drive I purchased when building my system.

To play on a music CD player, it must be a Red Book CD. There are free programs like ImgBurn or paid ones like Nero that will format the data properly.

It also has to be a 16 bit/44.1Khz wav file. 
 
The speed the "Audio" CD was burned at can be an issue with some audio CD players, especially older ones.  My audio CD burn speed standard is "8X", but SATA optical drives in newer systems will not burn that slow.  The lowest most will go is 16X.   I have a 10 year old JVC 5 disc CD player and it will not play (or will skip) audio CD's burned over 12X. 
 
I do a lot of audio CD burning and I've had customers tell me my CD's play without problems but ones they have had burned at other places do not, and it was because of the burn speed.
 
I use Nero BurningRom as I have a bank of 5 CD burners and the Nero BurningRom will burn to multiple drives at the same time.  Many other audio cd burners, including Sony CD Architect will not do that. 

Thanks, that does not really answer my question.  Do I use a RIFF format, a Broadcast format, or ??? of the options available in Sonar?

If you are asking what format to export from SONAR, the answer is WAV. 

And don't forget to add dither if you're (hopefully) going from a higher bit depth (24) to a lower one (16)

Thanks for your help.  
 
Thank you especially Firebred, you answer was spot on to my challenge I think.

Older CDs won't necessarily play non-red book standard CDs.  Most newer ones do.  SONAR does a burn at once CD, I think, not by track.
 
@

A few things that make some cd players refuse to play:
a) as said - burning speed
b) some burner software allow to leave disk open to burn more later - close disk to be safe
c) I would say rarely - that 800MB disks are not handled by some older CD's, they start to close to center and it fail to navigate. So media itself may make a difference - 700MB should be safe.