A good soundcard such as an Audigy 2 will give you the benefit of better sound effects which in particular will enhance sound - and the sense of realism - in games.
You'll benefit from this weather your using headphones or listening via speakers.
With respect to movies and music there are also benefits to be had with respect to better sound quality due to the higher signal to noise ratio that you find on quality sound cards.
Additionally you may find that surround sound effects designed specifically for use when wearing headphones are better than those provided by on-board sound. These help to take the sound which usually feels likes its emanating inside your head when wearing headphones and project it virtually around you. It can be surprising effective with both movies (particularly when using Dolby headphone), music and games.