the audio coming out of the express is delayed due to buffering, but iTunes delays both the user interface and the audio coming out of the local speakers to match what comes out of the express. even visualizations will match the music.
the only noticeable difference is a small delay (under 2 seconds) when you start playing or skip songs. since it has to re-buffer.
you can also stream to multiple expresses, and they will all be in sync with each other and the local speakers.
or you can stream to 1 or more expresses, and disable the local speakers, which i like because the music is coming out in the room, but other sounds (like mail alerts or whatever) come out of the local speakers.
there is also
airfoil which lets you stream from other sources, but here you will notice a delay, so it's not the greatest for playing video, unless you use their player, or have a player that will shift the audio so it matches.
But it is great for pandora / last.fm, and it will also stream to other computers (win, mac or linux) iphones, and ipod touches.