Cooledit Pro is not a sequencer, it is a "WAV editor" like Sound Forge (which is one of the best IMHO)
Cubase is a great sequencer, where you write your notes and control your MIDI devices (both software and hardware synths , etc..)
Feel free to post a new thread/discussion to tlak about a specific topic/subject (this thread being about "what is your favourite sequencer".
Soon, a tutorial explaining how to get started with Cubase VST 5 will be published on this site, as well as an article explaining the basic terms and things to know when you start.
Good luck, and have fun!