I just recently upgraded to an X-Fi from onboard sound. I honestly can't tell the difference in the sound in Bioshock. Was I supposed to??? My music sounds a little bit better, but that is about it. I guess onboard sound has come a long way.
Atleast when using digital outputs, I find it impossible to tell the difference..
But with analog outputs there should be some difference. But since you don't have "proper" hifi-speakers, it's not unusual that you cant tell the difference.