I had an interesting experience recently. I purchased the "Yanni Live" (OK, no flames please) DVD precisely because I knew it would challange my A/V setup. The first time through I just put the disk in the DVD and hit play. While good, the sound was a little "flat", lacking some of the spark these recordings usually have.
Then I checked the DVD on disk menu and there was a selection for Audio Options and "Stereo" was the default. I set it to 5.1 Dolby and the playback was noticeably brighter, more intense, more of a sound stage experience. I tried DTS playback next, and while the difference was subtle, there was a sense of expanded sound, richer mid-tones and highs, and my subwoofer got a little more of a workout - again subtle, but there.
I was surprised by the results, but now I will always check the on-disk options first. Even though the DVD may be menu selected for digital sound out, the on-disk menu may over ride the selection.