On board sound is also much more susceptible to interference noise from other motherboard components or connections (such as getting a humming sound every time you move your mouse).
I have an X-Fi on my current computer, put my Audigy 2 ZS in a computer as a gift to my brother-in-law. Even though I didn't need it, that was a hard one to let go; it was such a great soundcard.
Sure, newer soundcards can do more and have better sound quality than older ones, but until something amazing happens in the world of onboard sound (not likely, for cost reasons), a PCI soundcard is going to win, hands down, every time.
There are only two times onboard should be considered over an expansion card.
1) When money is a serious issue for a gamer (and I say serious issue, because, come on...we're talking like 60 bucks here). In such a case as this, use onboard because you have to until you can afford the soundcard, and then feel good when you buy it.
2) For a non-gaming, non music lover situation (such as an office environment) when sound doesn't matter a lick.