I guess I understand the basics of dithering.

But what are the pro's and con's of the different dithering option available in Sonar X1? 
Normaly my project is in 24bit 48kHz and exported to 16bit 44.1kHz.

Power 3 is the best. I don't really see much point looking into that further, but you can if you want! They are different algorithms going from basic and simple processing to more advanced and complex which is more effectively tuned to the human ear. I have not read up about it for a while so a bit rusty. Someone will give better info.

Dither is the VERY LAST PROCESS you apply before turning into mp3 or burning to cd. You apply when you do the final conversion from 24 to 16. Often we do the sample rate conversion at the same time and that should be fine. SONAR should do that first, then do the bit depth conversion after, but in one mouse click.

I have done experiments with it before. The dither floor is so darn low that I see it really making only a teeny difference. I don't think it's anything to stress about at all. Spending more time to fix a hiss issue in your recording chain will yield far bigger quality changes.

Short answer: it doesn't matter which algorithm you choose. Prove it for yourself by making two recordings, one with Powr3 (the most sophisticated option SONAR offers) and another with Square dither (the least sophisticated). Listen to them in a blind A/B test and see if you can discern any difference.

All they are, are triangular waves with different noise shaping curves.  One is not really better than the other.  POWr 1 is rather flat, POWr 2 has a moderate bump in the high frequency and POWr 3 has a huge bump.  The idea is to move the noise to someplace where it may not be noticed.  If you can tell a difference when under music you have much better ears than me.  

I like to not use any dither in the mixdown menu and put a PSP Xenon limiter on the master buss, which has dither included.  I can audition it that way with the different curves.  

Agreed. Most of the time, different types of dither make very little difference in the overall sound of your recording - especially if it is pop, rock, or similar loud and compressed material. If you are recording classical, acoustic jazz or something that has a large dynamic range and/or sections of near-silence, different types of dither can add coloration to the noise floor and affect how smoothly sound fades in and out of silence. POWr 3 is usually a good choice. The dither noise is shaped such that your ear perceives it being quieter than some of the other types of dither and it also maintains high resolution at low signal levels. The downside of POWr 3 is that it requires more processor power to generate. This might have been an issue 10 years ago but with the power of computers now, it's not a problem.

On an unrelated subject, how come my replies always end up as one paragraph even though I put line breaks ('enter' key)when I type? This sentence should be separated from the previous one with a blank line.

Firefox

Use "br" in HTML brackets to insert a linefeed when using Firefox.