Oh there are many, but I believe the playlist is one of the most overlooked and underappreciated. No other DAW has fully flexible, load as you play, playlist/setlist with multitrack + midi functionality for live performance. I know Ableton live allows you to 'kinda' do it, but things gets very convoluted beyond 2 tracks (much less 24 -32 as I use effortessly in Sonar) and it involves much more preparation with less flexibility. There are a few dedicated performance players around , but they are very basic 2 tracks + midi.
Sonars playlist works flawlessly once you know how to use it and understand its quirks. It is hardly a new feature though having been around in various incarnations since Cakelive for DOS. Every now and then the bakers give it a bit of a polish.
Viva la playlist! It has a small, dedicated but deeply disturbed following:)