Yes. I use to do it awhile back, but haven't had the need (if I recall correctly) let me play around with it again and see what I can come up with.
Edit: come to think of it I believe it was application controlled to a degree. I could set WoW to run through my headset while I had music coming from my speakers, but WoW had the option to select an output.
Edit2: did some more research, basically exactly what I just said: its controlled at an application level. While windows 7 has the ability in theory.... It's still controlled by the individual application.
Edit3: you could however use both an onboard sound card as one output and a separate sound card as an additional output an set the defaults within each individual driver (according to 1 thread in maximumpc). For instance Realtek onboard plus nvidia hd audio. But to me that sounds like you'd still need the option within an individual app to be able to choose one of the 2, this being redundant IMO.
Also: there is a nice little program called Virtual Audio Cable that may be able to do exactly what you want... Simulating different outputs. I used to use it to drown out mumble in my streams.