You are reformatting the same string over and over again.
Format the string and use strcat to add them up to each other.
pawn Code:
CMD:myvehicles(playerid,params[])
{
new sstring[/*Specify size here*/], string[/*Specify size here*/];
format(string, sizeof(string), "%s\n", VehicleNames[playerVariables[playerid][pCarModel1] - 400]);
strcat(sstring, string);
format(string, sizeof(string), "%s\n", VehicleNames[playerVariables[playerid][pCarModel2] - 400]);
strcat(sstring, string);
format(string, sizeof(string), "%s\n", VehicleNames[playerVariables[playerid][pCarModel3] - 400]);
strcat(sstring, string);
format(string, sizeof(string), "%s\n", VehicleNames[playerVariables[playerid][pCarModel4] - 400]);
strcat(sstring, string);
ShowPlayerDialog(playerid, 5000, DIALOG_STYLE_LIST, "Your personal vehicles", sstring, "Ok", "Close");
return 1;
}