I thought I had a detailed post somewhere here on the forum describing this but I can't find it at the moment. Quick version is;
Pen Sort: Entities will be printed onto the paper (or PDF) according to the entities color and how that color is assigned in the currently loaded pen table. So say in a pen table White is mapped to Pen 1, Red is mapped to Pen 2, and Green is mapped to Pen 3. When printing with Pen Sort On, White entities (Pen 1) will be printed first, overlapped by green (Pen 2), and then overlapped then by red entities (Pen 3).
Pen Sort Off / WYSIWYG Off: Entities will be printed in the order that the entities exisit in the drawings database, with the first layer drawn first and subsequent layers being drawn stacked on top of the layer before it. Entities on each layer also have a order. When you use the Move to Back tool on an entity, the entity will move to the bottom of it's layers stack. Move to Front will move an entity to the top of it's layer stack, thus printing above all it's layers other entities.
Pen Sort Off / WYSIWYG On: Entities will be printed how they appear on screen. WYSIWYG, pronounced "wiz-E-wig" is an acronym for "What You See Is What You Get". The on screen display is primarily ordered by how the entities exisit in the drawings database with the possiblity of a few exceptions. For example, if you go into the Display menu, Layer Order, you can set to F2 Draw Last, so that the current active layer always displays last which would draw / print your current layer on top of all the other layers reguardless of the active layers location in the layer menu list / Layer Manager.