Take for example the Creative Labs Audigy and X-Fi series sound cards. There are Windows 2000 and XP drivers, but NO available Linux drivers (at least from Creative's web site).
http://opensource.creative.com/soundcard.html
One down, one to go.
^^^^^^^^^^^^^^^^ Most SoundBlaster Live, Audigy, Audigy 2, and Audigy 4 cards are supported by the latest ALSA drivers. Most Linux distributions include these drivers. For the latest information on which cards are known to work with the ALSA drivers, look at their sound card matrix.
The X-Fi series of products are not supported under Linux, and probably won't be for quite a while.^^^^^^^^^^^^^^
You don't download these drivers from creative's website. That's the oldschool way. They're in the linux kernel, when you do your OS install they are already configured.