I got into this stuff recently myself. For the price of an Audigy 2, you could easily get an Emu 0404. Of course, Emu is the professional division of Creative, but regardless it is a solid card for music. The difference in floor noise alone is striking (well, I have an Audigy, not a Audigy 2, but I doubt the difference is that substantial). Even so, I couldn't get the Emu to work in KOTOR II, so guess what? That's right, in my system right now I have an Audigy and a Emu.
Personally I use Sennheiser HD280s and Grado SR80s on a Cmoy and on an RA-1 clone. I've also tried out my friend's HD580s. Basically, if you have nice headphones, an amp is worth it. That doesn't mean you should go spend $300 on a Gilmore Lite or $450 on a RA-1, but nonetheless a fun project may be to build one. The Cmoy can be easily completed in a day, as can the RA-1 clone (which is, of course, a modified Cmoy). To be honest, if you're reasonably experienced with soldering and not OCD about cleanliness, you can finish the solder work in 2 hours (that's what I did for the RA-1). If you are OCD about it, you can probably finish in 4-6 hours (as my friend did). The case work will probably take more than that, however. You have to get a case, drill spots for the power switch, potentiometer, input, ouput, and LED, then wire all of that stuff as neatly as possible (which is a bit more difficult than it seems). In all, if you have the right tools, maybe +4 hours, so 6 hours for the whole thing, maybe 8-10 your first time around.
The parts can be had for <$30-40, depending on how high quality of stuff you buy and what case you use. There is some overhead with equipment if you don't already have a soldering iron and other requisite tools (but hopefully a friend has that stuff so you can borrow it). For some schematics and guides, check out
http://www.tangentsoft.net/audio.