I pretty much agree. Especially with good headphones I really do notice a difference between onboard Intel HD Audio based solutions (not to mention ancient AC'97 based solutions). The signal to noise ratio is one such thing, another is interference from other components that onboard audio devices often suffer from.
I have used the following audio solutions:
-Realtek AC'97 on my first PC's motherboard audio solution. It was crap. However, it had good driver support on Linux.
-Creative SoundBlaster 24bit Live! USB External sound card. It was actually a huge leap from the onboard sound, but it was a bit of a pain to use, both driver and hardware wise. Linux support sucked.
-Creative X-Fi Xtreme Audio PCI, or in other words a re-branded Audigy SE. Nevertheless it was better than the earlier card, however 7.1 support for analog speakers sucked since you would have needed special plugs instead of standard RCA 3.5mm plugs, because it had four connections (IIRC, rear and side speakers) in one single plug, so I just used 5.1 setup with it. Linux support still sucked.
-Terratec Aureon 7.1 PCI. Not as many bells and whistles technically as the X-Fi Xtreme Audio, but as a whole a better card. It's still installed in my other PC. Much better driver support on Linux.
-Onboard HD Audio on Asus motherboard on this computer. Didn't much like it, so I used the X-Fi card for a while.
However, the X-Fi card had something go wrong in it, and I got fed up with it since it started entering "screech mode" when ever it was using more than two channels and EAX effects at the same time. In other words it started emitting a very loud single pitched sine wave in these situations, so I cashed out an...
-Asus Xonar DX-XD. Awesome in a can, best audio quality I ever heard from my computer, great 3D sound virtualization options for headphone use, excellent game support, in same price range as Creative's low end X-Fi cards. I hear it has good Linux support too, though I have not tried it really in Linux yet. Just be aware that it has some strange hardware/driver incompatibilities with some NVidia motherboard chipsets...
However.
Before you have any chance to actually benefit from having a good sound card, you have to have good speakers or headphones first. Cheapo headphones and speakers will not benefit from higher source signal quality at all due to their inherent limitations. I can recommend Sennheiser's HD series of headphones. As to speakers, I myself have jury rigged my old Sony ministereo speakers into conjunction with a Creative's 2.1 sound system with a subwoofer and they work as my front speakers in the 7.1 setup, then I have another 5.1 Creative system that works as center, side and rear speakers with the default Creative satellites. It works fairly well, and having a dedicated subwoofer connected to front speakers as well as the entire 7.1 system is rather nice.
