Noise, strange things, whatever. Some sound cards allow you to use CD-ROM's digital audio output instead. Surprisingly common bad surprise is sound card's overloading when playing at full volume. It's just plain carelessness of a manufacturer. Something that shouldn't happen.
Most modern cards play audio rather well, some pretty close to real hifi systems.
It isn't waste of money to buy really good, expensive headphones to use with your computer. Sound cards like all Turtle Beach models, better Terratecs, SB Live, Diamond MX300, etc. have enough resolution and little enough distortion to let you enjoy the finer details of music. When things get really miserable, though, is in recording. Very few even somewhat reasonably cheap cards can do audio recording without serious problems. At worst, the result may be unusable, full of unwanted pops and whistles.