what soundcard are you using?
I know that genuine Creative cards (maybe some others, as well), have a section in the recording properties dialog called "What U Hear". I've found that this is more responsive.
Also, was your computer providing the source for the actual speakers, or were you just an extra component in the audio system? It might be that there's a delay when things go into your computer, but if you were outputting the sound yourself, you might get better results. Of course, if you were going to be doing this, you'd want a REALLY high quality soundcard (probably a Roland of some description), and a crash-free system.
Beyond this, I don't really know how to help. Possibly contact your soundcard manufacturer, and whinge to them that their line in recording driver is too slow =P
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