x-fi or xonar > onboard by far for gaming, even without increasing sound quality it'd still be worth £20 for the HRTF (x-fi CMSS-3d or xonar dolby headphone) just to make locating sounds so much better, means the difference between a vague to the left somewhere and within 10º left of directly behind you, combine it with a headphone with a large soundstage in the first place and you start being able to play FPS games and locate people purely based on sound alone,
as an example in MW2 on the map favela in a free for all i can camp with an RPD in the middle building and hear where everyone is and kill quite a few people through walls without even needing to see them, it's my own little nuke playground map

Add to that that the xonar (well the D2X does at least so i'd assume the DG would) have a noise equalisation option to make all sounds the same volume and footsteps become a lot clearer through gunfire
also a soundcard will help with sound separation so the sound won't become a blur of noise so much if there's a lot of gunfire and explosions around, headphones with a fast transient response help a lot there as well, for budget headphones for gaming i like the JVC HARX700s, large soundstage and decently fast transient reponse with good bass make it great for sound location while not lacking the bass like some other headphones with large soundstages do.
Yeah a £20 soundcard is definitely worth it for gaming.