Like Richard says, with the caveat that all other things being equal, personally I use WDM for a number of reasons:
1. I can adjust latency settingsetc from the Sonar Options->Audio db
2. It seems to work better for me with two or more programs open at once (eg Sonar and Adobe Audition). I'm very happy to concede however that my inability to do this so well with ASIO might well be due to my own stupidity ... but I still prefer the easier option!
3. It supports multiple sound cards ... again, maybe this is possible with ASIO, but for a renowned technophobe like me, well I haven't figured it out.

Happily I don't need to because of WDM.
Best,
Geoff