CPUs have more than enough power for sound. That was an old marketing point for X-Fi's with XRAM taking the load off of Pentium 4's back in 2006, where offloading the sound to an X-Fi would free up 5-10 frames per second in some games like Quake 4, FEAR, etc.
These days, the only thing that really counts in a sound card is that they (generally) have better DACs (Digital to Analog converter) that changes the digital sound produced on your computer to an analog signal that your headphones / speakers can use. A better DAC means better sound quality.
Some sound cards, like the X-Fi and Xonar cards can also use / emulate EAX, which was used for extra sound goodness in older games made prior to Vista's launch. But with Windows Vista changing the way sound works in the OS by replacing DirectSound with XAudio, hardware sound acceleration was pretty much killed.
Everything is done in software these days. One of the first high quality software sound renderers (handled by CPU, not sound card) that allowed Quad Core CPUs to shine would be Battlefield: Bad Company 2.
If you're on a budget, the Asus Xonar DG
would be a nice choice.
+ Built in headphone amp
+ EAX emulation for old games
+ Only $25-30
+ Dolby Headphone for simulated surround sound in games that do not offer a "headphone" mode
+ Good DAC on a budget