1: EAX is an old audio spec that allowed for extra environmental effects when paired with an EAX capable soundcard. Its more or less a dead spec at this point. EAX 1-2 are supported by most chipset vendors, and 3-5 are supported only officially by Creative soundcards using the X-fi chipset. If you have the necessary hardware/software support, then go with EAX, but its not a dealbreaker.
2: For the Z-5500, you have two options: Analog or Digital. Analog typically offers higher quality, so you would plug the color coded analog audio outputs from the motherboard to the Z-5500 (There should be 3 outputs, Green and two other colors I can't recall right now :P ). Digital is only one wire and offers the advantage of passing through all Dolby/DTS audio tracks to the Z-5500 to decode (which lessens the workload on the PC when those types of audio tracks need to be played back), but offers slightly less audio quality.