I believe there is a supported hardware list on the Cakewalk website. Choose something that works with 'WDM' and 'ASIO' modes and doesn't have a whole bunch of notes regarding how to make it work.
I started with an M-Audio (AP 2496) card with HS 2 XL, but when I upgraded to Sonar I got an AP 192, which I didn't like. I now have an E-MU card and the E-MU is far better than the M-Audio cards I have tried and to date I have had no problems with it.
I prefer ASIO over WDM, so why would I even care if the WDM drivers currently have problems? I tried WDM drivers with Sonar, never encountered a problem, but did not get the very low latency I can get with ASIO. The same with the 2496 with HS or Sonar.
I tried both M-Audio cards with Sonar before getting the E-MU. The sound quality, at least through my monitors between Sonar 4 and HS 2 was noticably different with the 2496. On my system (Event, Roland and Fostex monitors) the 192 made me feel like I should just use the 2496. Then I got the E-MU card just to try it out after reading some very good reviews and fully aware of some of the problems people have encountered and never looked back. Even my non-musically inclined companion could hear the quality differences. For me, the E-MU is simply a superior sound card.