Psychobillybob
In the box I find there really isn't much need to go outside of Sonar at all...(same holds true with Logic)
I find I use third-party plugins far more with Logic than I ever have with Sonar Producer or Splat. Many of Logic's just strike me as indifferent. There's a big price difference between Logic and Sonar of course, which may explain some of it even if Logic is a bit of a "loss leader" to help sell Macs :-)
Like many people I've accumulated quite a number of third-party plugins, and like many people I seem to keep going back to a relatively small number of them.
Waves' Abbey Road consoles, plate reverb, tape and ReelADT are very good. The consoles have a distinctive character like the originals, which were state of the art in their day. Whether they're suitable for everything is a different question of course. The J37, Plate Reverb and ReelADT are among the best of their kind in my opinion.
I use d16’s plugs a lot, not the synths and drum machines but the modulation effects, distortion, sample rate reducer and Sigmund delay. Their flanger in particular, it is very close to the sound and feel of my old Deluxe Electric Mistress but with less noise, a more usable range of controls and it can do far more than the EHX pedal.
BozDigital's plugs are well worth looking at. The +10dB is a nice eq and compressor that's easy to dial in, and the tilt eq is very useful.
Cakewalk's CA-2A is excellent, as is the Concrete Limiter. I just wish the Concrete Limiter came had an AU version like the CA-2A.
Waves Puigtec "Pultec" units are my go-to broad-band eq a lot of the time (the Quad eq or Logic's more basic equivalant I use mostly for surgical things like narrow notching to remove onjectionable resonances), the Nomad Pultec style eqs are OK, and to be honest either will do, it's a matter of personal preference rather than Waves being objectively "better".
Splat comes with one of the most comprehensive plugin suites there is, and none of them are "throwaway" or not usable. All sound somewhere between pretty good to excellent. As far as using Sonar's concerned I mostly use third party stuff for its character rather than because I couldn't manage with just the Cake supplied ones.