I'd agree with sturm. Onboard nowadays have dolby and eax support.
However a new sound card can handle more sounds at a time and at a higher frequency which is especially important for games (obviously done through hardware and not software)
Also meaning less usage on the cpu.
I decided not to use my sound card (though it was way better than my onboard) because i use a pci video card and took up too much bandwidth over my pci bus.
I did actually discover new sounds in game btw.