I've just gone down this route.
So far all I have is the soundcard. I don't think I'll get a pair of speakers (I currently have Harman/Kardon HK195 cheapies that work really well). It looks like I'm going to get a good pair of headphones and a headphone amp. I can't decide which speakers to get so I don't think I'll get any.
I want:
Soundcard: Auzentech X-FI Prelude 7.1 Sound Card (just arrived)
Headphones: AKG K701 (just arrived today the 12th of May. Haven't hooked them up to anything yet but I'm very keen)
Headphone Amp: Little Dot MKIII (arrived in early May. Burning it in and loving it)
The soundcard just arrived to me 15 minutes ago. I have yet to open the box as I'm at work
One cool thing I like about my current setup is that I have the speakers plugged into my old soundcard analogue out (Soundblaster Live Digital) and I have my stereo amp (out in the TV lounge) hooked up to the digital via dodgy coax.
I can swap from Digital to Analogue with a tickbox in XP and it routes audio from my desktop to my TV (and disables the other output). A very cool system.
One thing I like about my cheapie Harman/Kardon speakers is that they have a headphone port on the front. I plug in my current headphones (Sony MDCD280. I think?) and the speakers turn off. I can then use the speaker volume knob to turn up the headphone level.
They have an active headphone port. Something most desktop PC speakers have. I've looked for a few 2.0/2.1 desktop speakers (preferably in black to match my monitor and case) but none of them have an active port. It's all passive.
I's a good setup but the speakers are 14 years old, soundcard is 8 years old and my headphones are 6 years old. I think I need an upgrade as sound is quite important to me (particularly in games you can hear where the sniper shots come from and listen to the bullet whizz past you. Play some Operation Flashpoint with the BAS dynamic sound addon and you'll know what I mean).
Anyways if any of you can reccommend a good PC 2.0/2.1 (I'd rather 2.0) setup I'd be more than happy to listen. I was looking at the Creative GigaWorks T40 speakers but I don't know. I think I'll just have headphones.
D
Edit: My box just died on the 12th. So I haven't even had a chance to hook up my K701's yet. I have no source :'(