FF8 does use the EAX (EAX2, I *think*, although it may be EAX1) exactly as its supposed to; it loads an environment preset appropriate to the scene being displayed.
So, in the ice caves, all the sounds go quite echoey. Sewers sound fairly echoey too, outdoors is more "open" and less muffled than indoors, and so on.
TBH, it's not a gigantic effect; FF8 just isn't the type of game where it makes much difference. You can notice it, but it's hardly a big change.
(Music will be hit by the environment preset too, assuming it's going out through the wave output at some point, which it normally will be, one way or the other).