I have an Nvidia videocard (GTX275) and it has a connector for "HD Audio". Where should I connect this on my board and why should I connect this? What is the benefit?
If you connect that cable to Pins 3 and 5 of your motherboard's S/PDIF header (see diagram below) you can pass audio from the motherboard through the video card's HDMI port. Here's a FAQ entry from eVGA with more information.