I would recommend checking out any pro/semi pro music supply (guitar center, sweetwater, etc....) and getting a 96k sample rate or better audio interface. You will get a very linear 24 bit dynamic range as standard, and some have sample rates as high as 192k.
There is a free program over on the Home Theater Shack forum called "REW: Room EQ Wizard" (requires forum membership). This program does in-depth realtime FFT analysis and can quickly output frequency response plots, and will tell you THD, THD+N, etc. Also includes a great signal generator (pink noise, white noise, sine wave, lock sine to FFT, sweeps, etc).
Most of these soundcards show a noise floor below 120dB FS, I usually set the graph to show 140 dB range. You can see harmonics way down in the noise if needed.
Obviously bandwidth gets questionable below 20hz, but usually can do down to 5hz depending on the interface. I measure up to 40khz usually. Perfect for audio. It's not about the bandwidth, its about the dynamic range and linearity. Even a basic $200 interface will outperform most scopes in this regard.
Also some traps: These have minimal input protection and can handle +4dBu signal levels but not much more. Also the input impedance is great for line level signals but probably not for high impedance work, so that's something to keep in mind. I/O is generally balanced, although unbalanced operation is easy. Also watch out for ground loops, it's easy to show mains hum down a ways if you don't keep that in mind, especially testing unbalanced signals.
Not perfect, but with some simple considerations, you can get really professional measurements at little cost this way. If you built a piece of audio gear and want to test for frequency response and THD, it's *almost* perfect.