In general, a sadhana can be any spiritual practice that helps one arrive at a goal. A sadhana can be a yoga, like raja yoga or karma yoga, but it can also just be an activity like listening, reading, writing, or meditating. However in Vedanta, sadhana is typically used to describe the process for which one removes ignorance. The steps of the process are defined as follows:
1. Karma yoga (purification of the mind)
2. Upasana yoga (steadiness of the mind)
3. Jñana yoga (yoga of knowledge):
a. Shravana (listening)
b. Manana (reflecting)
c. Nididhyasana (assimilating)
Each step qualifies the seeker for the next one. Seekers often want to learn how to meditate on the Self, but you can't meditate on the Self until you have knowledge of the Self. Likewise, you can't gain knowledge of the Self until the mind is still and purified enough of its binding likes and dislikes. Thus, one's choice of sadhana is important because it should be appropriate for where you are in your journey. Westerners, in particular, want to just know all the answers to life's biggest questions. They prefer to skip karma yoga and upasana yoga and jump right to jñana (knowledge). What most find later, is that they need to return to the sadhanas they had previously skipped in order to complete the picture and solidify their understanding.