Integrated graphics share your system ram. This leads to two potential problems. If you have 4gb system ram, and your integrated graphics uses 1gb, then you really only have 3gb system ram to use for your game. The solution here is to add more ram so you have enough for everything.
The other potential problem is that using system ram is much slower than using ram that is on the videocard. This is why gaming cards have their own ram. Depending on the games you play, you might not be affected by this. A slower paced adventure game or strategy game might not need the extra performance from faster ram access.