Yeah, you should notice difference - if you pay attention to sound ;P
It is more distinct and if you play multiplayer games where there is so much going on, latest cards guarantee there will be no drop-outs and all sources of sound are clearly positioned in 3D.
Movies: Audigy 2 ZS decodes Dolby ex and DTS, while Live decodes only Dolby. THX calibration console is a nice tool for proper surround sound for movies, too
Games: Audigy supports EAX 3 and 4 (EAX HD) and 64 simulatnous voices , while Live only EAX 1 and 2 and 32 voices.
This refines details in games that support EAX HD and most current games do.
Compared to onboard sound that has no hardware accelaration in games
there is usually a gain of a few FPS in any game. And sound is better.
But I'd rather go straight to the latest X-Fi card. Audigy will later or sooner become obsolete and I am sure you will be able to use X-Fi for years, same as with Live card.
I have recently upgraded from audigy 2 to X-Fi and do not regret the move. Surround sound over regular headphones is one of the features that justifies the expense. And you can get it for about $70, there have been couple of threads on this already here...