I've only had Sonar for a week.  I've been using Linux Ardour prior to jumping into a windows based system.  I have an M-Audio Quad for an interface.
 
I completed my first recording - just Acoustic Guitar (stereo track) and Voice (mono track), no midi or anything else.  I've routed both tracks through a master bus that I created so I could use some plug-ins to master it.  When I finished - it sounded exactly as I wanted it through my M-Audio monitoring speakers and my monitoring headphones.  When I exported it - the mix sounded terrible and completely different.
 
I have tried numerous tests and made sure that the problem was not a result of eq on playback devices and such... 
 
What I mean by different is that the EQ/Compression seems off.  My vocal track sounds overcompressed and muddy and the volume seems to have dropped.  Even when I go back into the mix and make adjustments to the EQ and Master Compression that would fix this problem (resulting in a terrible sounding mix while in sonar) it doesn't seem to be solving the issue or making the changes I need in the final mix.
 
I have some ideas, but figured I'd put it out here.  I suspect that I might be messing up something in the Bounce Settings of the export.  If I have it set to 'entire mix' will that double the tracks and the master bus (seems a little strange, but I'm pulling at thin air here)...  I can't think of anything else to try - I've been at this for a few days!

You may be double "mastering" it. Before you export, if you bounce down to one track the effects on your master bus are applied to the mix. If the bounced track is exported with the Master Bus selected as its out put it is then being run through those effects yet again resulting in an undesirable sound.
 

I'm not bouncing down to a new track...  (But perhaps that's what I should do)
 
I have two tracks - guitar and vocal - and a master bus (in addition to the master output).  The bounce settings I was talking about are in the window that comes up when I click file->export.  It's where you have the checkbox options for including muted tracks and such... 
 
I have 'Entire Mix' selected for that section - does that layer the tracks onto the mastered track?  It's just a guess, might be really dumb.
 

What player and monitoring system are you using to judge the export?
 
To eliminate as many variables as possible, try this:
- Bounce the Master bus to a new track (I usually name this Master Bounce)
- Set the output of that track direct to Main Outs so it's not re-effected by the Master bus, but plays in parallel with it.
- Solo the bounced track, and group the solo button with the unsoloed Master bus.
- Play the project and A/B the live mix with the bounced track.
- If they sound essentially the same, you can try ungrouping the Solo button, and inverting the phase of the bounced track to hear how well it nulls with the live mix. Depending on what plugins you're using, and whether their processing has any randomness, you may or may not get complete nulling, but it should be close.

I had mix translation issues for quite a while. In the end I found it was due to the room. I looked into room treatment etc and decided it was easier to use ARC2. There are many different opinions about ARC, however for me it works fantastic. Now my mixes translate well from my studio monitors to other devices. Hopefully this helps.

This topic comes up fairly frequently on the forum - I'd recommend doing some searches and you'll undoubtedly find numerous threads on it.
 
However for starters - let's look at your export settings first:
If you have 'entire mix' selected, that actually sums  your busses (you mentioned having effects on your master bus), so that could be contributing to the disparity.  I'd first try selecting 'outputs' (or something like that, I'm not in front of my DAW right now) and when it prompts you to select which output - select your audio card's main outputs.  This is what it's typically been for most people (including me) who've had this issue.
 
Also, if you're exporting directly to MP3, make sure you're selected "variable bit rate" when the MP3 options box comes up.  If you're exporting to WAV, then disregard this step. 
 
Hope that helps.
Russ
 

Yea, this topic comes up too much and it it always has something to do with the routing of the tracks, buses and main outs
and/or your export settings. Ive responded to a few of them in the past weeks.
 
Just do a search as Sonar does export exactly what you hear. If it doesnt, then its your routing and/or export settings
 
CJ

I found a few threads, but I didn't seem to find any with a solution.
 
@Brundlefly.  The monitoring 'system' that I have are M-Audio Monitoring Speakers through my Interface and some AT Monitoring headphones - also through the interface.  I tried (just to eliminate variables) using some different kinds of headphones through the computer's 1/8 jack and it sounded great.  When I exported - it sounded terrible - even played through itunes on the same computer, loaded up to a couple of different devices and through my home stereo, car stereo, basically anything I could find.  I even loaded it up to Google Play and tried it out on a variety of systems.
Great suggestion!  I'm going to try that as soon as I can!
 
@TraceyStudios.  I'm pretty sure it's not the room.  My set-up is not Pro and is not perfect, but this is such a marked difference - it has to be something else.  Also it sounds bad through the same speakers after I've exported when playing through itunes.
 
I don't believe it's the bit rate of MP3s - it's not that type of distortion.  I set it at a constant of 320. 
 
I think it has to be something with the routing of buses or the options I have to export...  I really appreciate all the responses!  And within a few hours!  Awesome!  Loving the Sonar Forum...
 
 

The easiest, simplest b& fastest way of proving that your routing & export functions are correct is to simply re-import your export into the same project on a new track.
 
Solo it, route it directly to your interface (bypassing your master fx) and it should sound EXACTLY the same as your project.
If it does, your problem lies outside of Sonar. If it doesn't, you've got a routing/export function problem

Oh man.  I'm humbled.  I did what Brundlefly suggested and inverted the phase - almost totally canceled out.  What was left was probably just left over from the tolerance button on the console emulator.
 
Which probably means TraceyStudios is right.  It's either the room, or my equipment.  I went back in and tried it with the 1/8 inch jack, not going through my interface and I noticed the same difference that I hadn't before. 
 
Even more than the room - I think it's my newbie ears.  I remixed the session and eliminated the problem.  After, I can now hear that the mix that I thought was good - was not good.  Crazy how all of the sudden you can hear things different after a little practice mixing.  I guess that's why people get paid to do this even though much of the equipment is readily available :-P
 
For future readers who stumble on this post - I tried remixing at extremely low volume on my speakers and headphones and noticed a HUGE difference in the final product.
 
Thanks for your input...