"The answer is, of course, it depends. The advantage of S/PDIF (both coax and optical) is that it carries a digital signal down the line. This is essential when you're doing things like sending a DTS or Dolby Digital (AC3) signal to a receiver which can decode those signals. Often receivers have better digital to analog converters than on board audio controllers. Additionally, if your speakers are far away, an S/PDIF allows you to carry 5.1 over just one cable.
However, if you're just piping audio from your computer to a set of inexpensive desktop surround speakers, you're not going to hear much of a difference in most cases. If you can provide more details about your setup, it'll be easier to answer if S/PDIF is right for you."