What things should I look into as to why my exported audio doesn't sound anything like the quality when played in X2.
I select "entire mix" and "wave" format.
I use the same speakers to play the wav - it sounds relatively tinny.
Playback is in Windows Media Player.

AFAIK Windows Media Player processes the audio a lot, this could explain the difference.
 
Try importing the exported wave into sonar to play it back and see if it sounds the same.

Grab a free wave editor like NCH/Wavepad or Audacity and play it as a wave.
 
Converting to MP3 and some of the other players will color the sound. It should not sound tinny though regardless of the player.
 
can you post a link to the song on soundclick or soundcloud?

Windows 7, by default sets it's own internal Media Player "Tone" to be weak on the bass and treble. Go into your Soundcard settings (the one Media Player uses by default) and adjust the Tone. You'll probably find that Windows automatically set the Bass and Treble to be set lower than zero. That's what I found, anyway. Good luck!!

Sonar doesn't change the sound of your music when exporting it. If your sound changed, then you may have set the export with the wrong export settings and it could be that the playback player you are using, has some sort of filters, like EQ or something. 
 
I mange to get the same exact sound i hear in sonar every time i export, so you musty have some sort of configuration problem when your exporting or its your playback devise.
 
Trust me, if sonar didn't export exactly what you hear, it would have been out of business 15 years ago.
CJ

It should sound exactly as it did in Sonar. Make sure Windows Media Player doesn't have an EQ or SRS enabled or it will color the sound. A better test would be to import the WAV file into a new Sonar project and play it back from Sonar. I assume you're exporting to a WAV file. MP3s are compressed and won't have the same fidelity as the original. 

You can get a free copy of Adobe Audition 3.0 from TechSpot. I work with all my finalized wavs in this program and consider it the best one around. My opinion of course. I also have it set up to open from the utilities menu from inside X2, which requires a bit of tweaking in the windows registry. You can open individual tracks from within Sonar to do up close editing of the track. Much easier than using Sonar to do the work. Find it here:
 
http://www.techspot.com/downloads/5733-adobe-audition.html
 
 

Sorry everyone for not responding sooner - I've been out of action a few weeks.
Guitarhacker - I'll try a few of the suggestions given before putting it up on soundcloud.
Thanks for all the suggestions - I thought it would something outside cakewalk.
The adobe thing sounds interesting - thanks.
 

Hi Tasmaniac . . . do you have all your tracks and busses assigned to a Master Bus, which then gets routed to your soundcard output ?
Then -  select all tracks and export to audio.
I've found this the best way to get a predictable result for my mixdowns.