The right outboard DAC can give you an improvement in sound quality. I have my iMac hooked up to an external DAC for my headphone setup. Without a large financial outlay, you could try some DACs that have free trial periods or find someone local to audition one.
One benefit of a DAC over a CD player is being able to feed multiple sources into it, thus allowing you to get the sound quality you want. For example, very few CD players have a digital input that would let you feed your computer to its DAC.