EAX 5 for example is processed on the X-Fi card itself where the Xonar DX uses the CPU to process it. The X-Fi was the only soundcard which supported EAX 5 until ASUS managed to write drivers which allowed EAX5 to be processed without the X-Fi chip meaning it's done on the CPU.
If you had an X-Fi the EAX5 processing will be done on card and not on the CPU, if you had the Xonar the EAX5 processing will be done with the CPU which increases CPU load. However, the CPU load is tiny (about 0.5% and secondly with multi core CPUs the processing is done on a core which isn't used by the game. Basically you wouldn't be able to tell the difference between the X-Fi and Xonar since modern CPUs are so fast and multi cored.
But, EAX5 is a DirectSound extension which does not feature on Vista, the X-Fi gets around this problem using ALchemy which converts DirectSound to OpenAL (which Vista uses), all the hard work is done on the CPU. Ultimately under Vista; EAX5 processing on both the X-Fi and Xonar is done on the CPU so the above is void if you use Vista!
Still, that's just EAX5 which a few games use, I don't think any more games in the future will use it since Direct Sound was dropped on Vista. Both cards under XP process Direct Sound sans EAX on chip, most tests show that the Xonar has a lower CPU load albeit a tiny one.