I haven't been able to drag any audio or MIDI clips out of any other DAW but Sonar. Is it the only one? Or am I overlooking something.
 
Mixcraft, Studio One, Samplitude, DP9, Cubase, Reaper.

I haven't tried it yet, but in DP (according to the manual) use Ctrl-drag to export a clip.

Yup! Just tried it. The others not so good at this without going thru an export menu or not at all.

I saw a video where someon3 2aw doing something like this in S1

In Studio One, you can drag into the Files tab in the Browser which has some standard Windows locations like Desktop and Documents and also the ability to dig down directly into drives. Not quite as slick as SONAR's direct integration with Windows but slightly better than nothing.

You can also right-click a clip and choose Event->Export selection and choose either save as a .mid or .musicloop file.