The sound works fine until I actually load up a game and then it's essentially on mute, until I go back to the main menu. Tried turning off EAX and that didn't help.

One thing I had to do was Go into my Sound Control Panel and turn OFF 5/1 sound. I had been playing around with the Special effects and other settings (plus I kind of enjoyed watching those speakers animate ... heck, it was late ...) BUT anyways, I had left it set for 5/1 sound and I don't even have a 5/1 setup ... I TURNED OFF the 5/1 sound setting in the control panel and reset it to stereo ... I got sound back in my Baldurs Gate.