First of all, Vegas was born as an audio application!
But the two compliment each other. Vegas is multitrack. Depending on the power of your computer you can record up towards 20 tracks simultaneously with Vegas. Sound Forge has a more precise approach to your waves, allowing you finer control and also adds some FXs Vegas do not have (like pitch shift).
For video, Vegas is a must have. If you are an audio-oriented person there seems to be nothing in the price range that comes even near it. Sound Forge acts as a plug-in to Vegas (although being a self-contained app in its own right). When you open a Vegas audio track in Sound Forge and change it, it is automatically added to the Vegas timeline as a take, while keeping the original intact. Sonar can probably do most things Sound Forge can do - plus midi? - but the seamless coexistence with Vegas is great when you're working.
And then there is the Sony Noise Reduction (optional extra) which you'll love to have, and which can be used in Vegas, but most people seem to prefer using it with Sound Forge.
Tor

I'd recomend getting Vegas and Screenblast Sound Forge. SSF simular to SF7, but with not as many features. However, it's a lot cheaper then SF7 (~$70) and can do the same micro-sound editing as the big SF7. Then all your bases are covered (cheaply!).

I second that HappyFriar...
It's exactly what I've got under the hood and it works great.
Then when I'm really interested in Sound Forge, I'll wait for the rebates and simply upgrade from SForge Studio to full Sound Forge...
Fact is, you can do so much with Vegas that I barely use SForge...

If you only have money for one product, get Vegas. It has been artifically limited to not let you do sound fX the way that you can do them with video (i.e., they are not interactive), but you can still do many, many things with sound.

SoundForge is great if you want to extinsively change the audible properties of a clip (pitch, EQ, levels, noise, etc.) and you need to do this interactively.

Johnmeyer: What do you mean by "interactively?"

I'm wondering exactly what you can do with the Screenblast Sound Forge that you can't do in Vegas 4, looks to me like pretty much everything in the specs of Screenblast SF you can already do in V4.

If you use SF, you can zoom into your audio files WAY more and see more detail. ie in Vegas the audio will appear as a flat line (even though you still hear something) but in SF you can see even blank isn't blank. :)

I'm able to zoom in to my audio files on vegas as close as I want by resizing the track on the timeline. Maybe you need it larger than I do, but that has always been sufficient for me.

From Vegas select a video track and press "Shift+Up Arrow". The audio waveform will increase in size (No need to change the size of the track)

I know it will do that, but it will only zoom in so far (then it just enlarges the waveform picture). With SF it will display much more detail.

But, i've only needed to use SF to check audio when i needed to be very picky.

Johnmeyer: What do you mean by "interactively?"

In SoundForge, you can play the audio, and while it is playing, you can adjust the controls in any of the dialogs, and immediately hear the results, just like turning the treble knob on your stereo. Without this feature, you have to make the change, quit the dialog, and then play the result. Vegas is artificially crippled to not have this feature and therefore make SoundForge more of a necessity.

The full blown SF supports DirectX plug-ins and includes WaveHammer, Multi-band Dynamics etc plus 3rd party DirectX plug-ins. If you search for SF, you will find bundles that include Noise Reduction 2.0 also.

Vegas is the way to go if you can't afford both but if you do audio as I do you need both. Vegas and SF integrate perfectly and this can't really be described in a forum.

I have Sonar, Vegas 4, SF 6 plus many MIDI apps. Once I discovered Vegas and SF (Vegas Audio 2 and SF 4.5) I no longer used Cakewalk for audio (CW 8 then) since CW is SO primitive in the audio realm. I sync Sonar to Vegas, do all my MIDI in Sonar and audio in Vegas with the ability to micro-manage audio seamlessly in SF.

Hopefully soon Sony will support MIDI in Vegas so I can kick Sonar to the curb.

Video in Vegas is awesome, so intuitive and the quality is spectacular. Anyone that is familiar with audio multi-track apps. will very soon find it extremely simple to work with video at a quality level that is completely unexpected since Vegas was an audio multi-track audio app. to start with and is based on this still. Video is much easier than audio to get a grasp of probably because humans are visual creatures.

MJ

You can't get instant feedback by dropping an audio effect onto an event, but if you send that track to a Bus with the effect(s) you can twiddle with the settings whilst listening to playback.

An if you put the effect on the audio track insert you can adjust it there during playback.

Don't hold your breath waiting for Vegas to include midi. It's been added to Acid. They probably prefer you to get that.
Tor

I agree with an earlier post that, if you can only afford one product for now, go with Vegas. You can make your current CW app your audio editor of choice, and probably invoke it from the Vegas timeline just as seemlessly as others are doing with SF. If you need a multitrack recorder or want to sync up multiple tracks, nothing, in my experience, works betteror is simpler to use than Vegas.

My audio editor of choice is Wavelab which I much prefer over SF, and I simply tell Vegas to open an audio clip in my audio editor, and Wavelab pops up. I do my thing from within Wavelab, close it, and I have a choice as to whether or not I want to replace the original sound clip with the new take on the Vegas audio track.
Works great. No doubt you can use your current CW app in the same manner.
I own SF7, WaveLab4, and Vegas. In my experience, all three display waves in equal detail as you zoom in. Of course, the further in you zoom, the "flatter" or more like a simple line (wave form) does the wave become. At full zoom, all three programs display the wave as nothing more than a thin squiggly line.
The advantage with the two Audio Apps is that you can use the supplied pencil tool to actually alter the wave. For instance, if you were working with a file that you imported from a vinyl recording, you could zero in on a nasty "pop", locate it, and use the pencil tool to redraw the wave at that point, thus, eliminating the "pop" or click.
Vinyl restoration tools basically automate this task, finding the wave abberations and redrawing them automatically. Steinberg calls their tool "Declicker". I forget what SF(Sony) calls theirs. Either one should work fine (and, if you purchase it separately, I'm sure Declicker would work with your CW product).

In my view, we live in absolutely wonderful times. Whichever tool you own (or purchase) will work wonderfully once you are comfortable with it. I have a friend (very successful and capable in the audio field) who swears by CW, I love WL, and many on this forum wouldn't be without SF. What's great is that each of us can get fantastic results with any of these - ain't it just grand!!
Caruso

Thanks for all the help everyone. I'm still watching this thread and will probably be making my purchase of Sound Forge and/or Vegas today or tomorrow.

I have Vegas and from that I can reach my SF Studio. I also have an old copy of Cool Edit Pro.

I mostly have configured Vegas to call up CEP and use the editing results as a Take in Vegas. If you have another powerful sound editor that you like, I assume you can do the same within Vegas.

I just say this to indicate that I would purchase Vegas first and then see if you think you need Sound Forge too.