It probably depends on your sound card, and whether it can record from more than one source at a time. Many older sound cards only had a single stereo input, but it's not uncommon for newish motherboard-integrated HD Audio chipsets to support recording from multiple sources.

If you (still) use an emu10kn-based card (such as the SB Live), the kX project drivers allow custom routing, mixing, and alteration of inputs and outputs via the card's built-in DSP chip.