A recent article from Tom's Hardware which is pertinent to this thread.
Comparision of a $2000 USB DAC, A $200 USB DAC, a $150 Sound card and previous generation $2 Realtek on board.
DAC/Amp comparison.
I agree with BUD. Onboard is a crock. First off, is you have SB Z it can drive 60ohm headphones, not the gaming toys, you can't do that with onboard.
Positional audio makes a huge difference. The SB software does it in real time, such that in games you can select 5.1 or 7.1 and it does the timing so that it sounds 7.1 on your *stereo* headphones (I agree that phones with multi drivers are a waste of money).
In addition on my SB Z I have an external phone volume control, built in noise canceling directional mic (no read for retarded boom headphone mic). It also has multiple inputs for up to 2 external phones of mics if you want to.
On top of that the DSP can adjust the bass or other harmonics in real time. The effect works really well, it's not like some cheap DSP gimmick from the 1990s.
On top of that soundcards typically come with a Faraday cage to isolate EMF. Good luck with the crappy on-board Realtek.
Finally a lot of people don't realize that full 360 audio (as opposed to mere 7.1) is possible with a soundcard DSP. What killed this was Microsoft pulling the DSP API from Window Vista - they claimed that the CPU could do it. Of course this never happened since the CPU is always used for Graphics/Physics/AI. There are some older games you can try which give you full positional. If you don't believe me try this test.
https://www.youtube.com/watch?v=XlsIPwSj6Q0
We are truly in the Dark Ages of audio thanks to Microsoft and those 2 opinionated buffoons.