well, it dpends on the bit-depth, usually they are good, usually they arent. as if to set my example. I am running an IBM machine (intel 810 chipset) have a very clear sound quality. and my sound on Intel P4C800 is by far worst, so i had to use Audigy.
but newer mobo's like on Intel 915/925 are coming with Azalia (previous name) and are High-Definition audio at 24-bit (as equal as audigy). try your onboard, and if not satisfied, then go for seperate.
Intel Core2Quad 2.66Ghz 12MB L2-Cache
4096MB DDR Kingston Hyper-X
XFX 9600GT AlphaDog
Seagate 2 X 320GB SATA2
LG L246WH Flatron 24"