lawajava
ekurburski,

Two recommendations I'll make. Groove 3 tutorials on SonarX3 - there are two of them. With the Holiday20 offer from Cakewalk in the Cakewalk store you could probably obtain them for next to nothing if you hurry and take advantage of the Cakewalk promo. Eli is fantastic as a teacher. You'll run across his material on many subjects. This set of tutorials ( hours long) walk you through visually and with narrative about the features and menus. Great for getting your bearings.

Then there's a really interesting Groove 3 video (also avail in the Cakewalk store) called Mixing With Sonar X1. The tutorial walks through a song end to end. It's excellent! It also is really close to X3 in the feature set covered. There have been new things introduced in X2 and X3 of course, but 90 percent of the current program is covered in this tutorial. It's very cool.

On an additional note, I consume literally every bit of training I come across. Every presentation helps, from Scott's book, Bill's new book on Sonar Power, and including the material on Cakewalk University. For two staring points, I think the ones I mentioned from Groove 3 will really help you get out of the gate in an organized way.

I could be wrong, but I don't think the holiday offer works on material not owned by cakewalk.

I agree with the suggestion to first start with the tutorials found in the help menu. If you need structure and exact order, the groove3 is probably best bet. If you are going to go with the videos on the cakewalk site, I suggest looking at the order presented in the grove3 x3 explained and watching the cake tv closest equivalent in that order.

I just looked at the layout of the "Getting Started" area and can see how crazy that must look to the beginner.  The first four default videos are from left to right : " Addictive Drums", "X3 Blue Tubes Dynamics", "Blue Tubes EQ" and '"Blue Tubes FX".  It also assumes that one would know that a lot of the basic videos listed for X1 and X2 mostly apply to X3.  In fact, if one filters to show X3 videos, none of what appears would help a beginner. So, here is my attempt at a Cake TV guideline for a person who has never used any X series:
 
 
Setup and appearance
 
Unified Preferences video- Basic overview of the area where you set up most basic preferences like sound and midi interfaces.  It's not that detailed but it will show you where to look for such things.  There are more detailed videos but this is a fairly easy overview
http://www.youtube.com/watch?v=rawGwZtyH00
 
Get Started-Skylight- Basic Overview of the skylight interface. Again, not a full fledged tutorial but will familiarize you with how Sonar is laid out
http://www.youtube.com/watch?v=aSHCIRbMEV0
 
 
 
 
Navigation
 
Get Started-Smart Tool-  You will be using (or opting not to use it) a lot so basic knowledge of it is a must.
http://www.youtube.com/watch?v=Gv_fFgKHIfk
 
Get Started- Zoom-  the ins and outs of zooming, autozoom, fast zoom, etc
http://www.youtube.com/watch?v=-vnnGu735V4#t=17
Get Started- Clips- shows basics of working with audio clips in timeline.  
http://www.youtube.com/watch?v=gZA0S7eRSWw
 
Get Started- Browser- Whether using audio files , midi, synths, track templates, or fx chains, having a working knowledge of the built in browser will come in handy.
http://www.youtube.com/watch?v=oKWDQGFVLOE
 
 
 
 
There are other videos you will probably want to watch like the skylight enhancements for X3  and screensets but these will get you in the ballpark of how the program is setup, laid out and get you started navigating.  i think once you get a handle on these things, it will be more intuitive which videos would be of use to you.  If you are working strictly with audio, the midi videos may be useless to you so I did not bother to list. I also did not bother with listing fx videos because I suspect you will know what you want to look for once you are more comfortable with program.
 
 

I highly recommend the book "The Power IN Cakewalk SONAR" by William Edstrom Jnr. 
 
It takes you step by step from installing and setting up Sonar, through recording, editing, etc., right up to burning a CD or publishing your music on the net.
 
It also comes with a DVD of tutorial videos.  For the money, it is a "No-brainer."
 

Thanks to all for your answers.  FYI I have a years pass to groove3 and I am going through the X3 essentials.  I also have both of Scott's power books for x1 and x2.  I think the real answer is to continue going through what I've got and eventully I'll be able to make some sense of the other stuff presented by cakewalk.  I would mention that one of the best books I have come across so far was "Recording for Beginners" which uses Reaper.  The idea is a real raw begginer tutorial that doesn't cover 10,000 aspects of how to set things up but tells you how to record a track of happy Birthday.  Also took a college course in MIDI composition that got me started but it used Pro Tools.   
 
I'm slow so expect me back with a ton of questions.  Again, thanks.

this here is pretty good
 
Brandon Ryan and Seth Perlstein give an in depth look at SONAR X2 and its new features. Check out the new Smart Grid, ProChannel FX Chains, automation and take lanes, R-MIX SONAR, Breverb SONAR, the Console Emulator, and much, much more.
http://www.youtube.com/watch?v=k3eeSD9uPqw#t=2216