Two benefits:
1) Higher SNR. Most motherboard audio has a SNR of ~100dB or less. If you have speakers with a SNR dB greater than 100dB, you should find a card that matches or exceeds the capabilities of your speakers.
2) Off loads audio processing from the CPU. This means a gain in FPS 1-10fps typical.
A third benefit: I have headphones plugged in to onboard and my Klipsch speakers plugged in to my Creative Audigy 2 ZS card. Instead of messing with wires, I can change the default audio device to make it go one way or the other.
Fourth benefit
Better equalization and sound control. For instance, my X-Fi has a full graphic EQ and a bass boost w/adjustable cutoff, whereas the crappy onboard realtek has horrid sounding "rock, pop, blues" presets that are a kind of "spray and pray" method of tweaking in your sound.