In the case where so means therefore , the only difference is register: therefore is more formal. so is used in other cases with other meanings, of course, but I don't think you were asking about those. CJ
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CliveHi,
If you are comparing these two, you are probably thinking about conjunctions.
'So' is a conjunction. He loved her, so he married her.
'Therefore' is not classed as a conjunction, strictly speaking, although it is often used as one.
He loved her. Therefore, he married her.