since you're not gonna have soundstorm on the nforce4, but rather the Realtek 850 chip in most cases (some have the older 650), I'd probably say the Audigy 2 ZS will sound better. Of course, I still use integrated sound, and I'm perfectly content with it for gaming and music listening. I also prefer nvidia's NVMixer to Realtek's driver package, but both have their advantages. Will it make a huge difference? Not really. If you're an audiophile, would you notice? More than likely. It's just whether or not the difference is worth $100 to you. I've heard that the Realtek solution is comparable to a Soundblaster Live! series card in terms of quality, so if you can get by on that, then I suggest you save your money for something else. Besides, Creative and Terratec are both coming out with completely new cards this year, which will use the extra PCIe bandwidth, so that might make for a more worthy upgrade.
As for CPU utilization, I don't think it's much. It might steal 1-2FPS from your game, but it's hardly worth a $100+ upgrade for that, now is it? Think about it - that $100 could buy you an X850XTPE instead (or go towards an SLI setup down the road), or more memory, or a faster CPU, or whatever - all these will buy you way more performance than the sound card.
And if you grab an audigy, that one looks like a ripoff. The Audigy 2 ZS can be found for about $80, and I've even seen them at bestbuy for $50 on sale before. I don't know what the "limited edition" means in this case, but my guess is it adds some features you'll never use and charges $40 more for them. The sound quality of all ZS boards is EXACTLY the same, as is the CPU usage. The only difference is stuff like the amount of output jacks, or external controls in the Platinum, etc. Not worth it, IMHO.