Audigy 2 works but installation is annoying (yes, by CD) and you ideally want to switch from the default WDM drivers to VXD otherwise some EAX games don't sound correct. Somewhere in the docs Creative even says VXD is superior for gaming. Unfortunately the VXD drivers don't support some features like the equalizer. Install can take like 10 minutes from the CD and then you need to do some more rebooting to switch to VXD.
You can reduce the pain by going with Audigy 1 because its CD will install VXD drivers by default. Audigy 1's main issue is noise on the line out when you use headphone mode.
Personally I prefer Aureal or VLSI Thunderbird based cards because install is significantly less annoying and the cards themselves seem to be more stable. Less picky about other PCI devices.