I used a Soundblaster Live in mine without ANY trouble. Cheap on eBay! Check out my YouTube videos at: http://www.youtube.com/user/PinsAndVids with details on my build (and hints on getting the SB Live working).
The problem with on-board sound cards is finding DOS compatible drivers. The MAME compatible with the ZVG only runs in DOS. Others are working on Windows and Linux versions but the official software is DOS (32 bit extended by the way).
The Soundblaster Live! seems to be the only PCI card that works in this environment and it can still be a little tricky to get working. My video includes a link to a file containing the drivers and how I have them working.