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First off, getting it warm may help wipe most of it off. Unless it's on glass, in which case getting it cold an scraping it off works best.
As for the remainder, I've found that the gel alcohol hand cleaner you can find in drugstores, etc. works well. It usually comes in a pump container; pump a blob onto the sap, let it sit about 1 minute, then wipe. More than one application may be required if it's a thick blob of sap.
The gel helps keep the stuff on the sap where it's needed, plain alcohol just runs off.
Note that this will remove most waxes, etc. and will leave a small amount of oily residue (the lanolin or whatever they put in to make it less drying) so you probably want to follow up with washing or some quick detailer then a touch of wax.
Disclaimer: this works for me, but some folks may consider it to be an extreme treatment. Perhaps someone else has a more gentle method. Personally, I have found that sap can be very damaging and anything that gets it off is a good deal.
I agree with Carl. Water has usually taken it off in a lot of cases. Tarminator also does the trick.
What has been the most successful for me believe it or not has been good old Turtle Wax bug and tar remover available at supermarkets etc. Works like a charm.
What is something good to use for removing tree sap.
For me, the easiest way to remove tree sap is to clay the car. I'm able to feel every stinking little drop of sap. After claying, I follow with a another wash, then polish & sealant.
My brother had some globs of tree sap on his truck. I tried claybar first and no luck. Then I broke out the fusion. Took maybe a min and kept on flipping the soft towel and more fusion, but sure enough it worked fine. I was doing some serious rubbing and no scratches left at all in the clearcoat.