Total Harmonic Distortion comes into play with both the soundcard and the speakers. This number is more common in the speaker realm though. In more general terms, it is the ratio of the distortion of the input signal, which is measured at the output of the device. From that description, you can gather that the speakers have more to do with this number, than the card itself. The speaker has more of an effect because of external influences like the cabinet of the speaker, and what materials the speaker is made of. The soundcard chip (or DSP) is not affected as much because of the digital nature and the fact that it isn't as susceptible to external variances. If a speaker cannot accurately reproduce the sound, distortion will occur. But also, if the sound card doesn't have the ability to process the signal properly, distortion will occur. In the case of THD, the lower the number, the better.
Frequency Response has become almost a null issue in modern soundcards. Because of the PC9x specification, any PC9x compliant card must be able to produce 20Hz to 20KHz. This is also the range of the human ear (in 99.9% of the population). The place that frequency response really comes into play is at the speakers. If your speakers can't handle the 60Hz of that Snoop Dogg bass, then they will either distort as they attempt it, or you will miss out on the tingling sensations of that deep bass.
So now you've gotten past those figures on the box and you are looking at the features. What kind of features are you going to want? Well, for one, you will want as much API (Application Programming Interface - the software that developers use to "talk" to the sound card) support as possible. The basic ones are DirectSound and GM (General MIDI). Beyond that, there are all kinds of different APIs to consider. Here is a quick rundown:
DirectSound 3D (DS3D) - That from which all the others (except A3D2.0) is derived. It is a basic infrastructure that Microsoft has made available to developers. DS3D is a basic 3D sound algorithm that does the positioning of the sound and that is all. In future versions (beyond DirectX7) of DirectSound3D, there will be options for reverb and other features.
EAX (Environmental Audio Extensions) - This was a standard developed by Creative Labs, which has quickly become a serious contender in the 3D sound algorithm arena. EAX uses "presets" of reverb settings to give an atmosphere to the room or "environment" the game is portraying. In the newer versions of the API, more notably EAX2.0, Creative has introduced obstructions and occlusions. There is support for headphones, two speakers and four speakers.