With today's processors and onboard sound solutions, we are talking about 2-3 frames per second in games, at the most, when using onboard sound. However, sound QUALITY might be an issue with some onboard sound solutions. Personally, I always trusted Creative products and got great sound quality for my games. Recently, I purchased a SoundBlaster X-Fi gamer for my new Vista system and I was horribly let down. They still don't have drivers that fully support Vista. Many people have static or popping coming from their speakers at random. I had several problems with my microphone. All of these have led me to the decision to just pull the card from my system until Creative can release working drivers for Vista.
The choice is yours. Spend $50 or so to get a higher quality of sound, or go with your onboard sound. I would suggest trying what you have built in first. If you don't like the way it sounds, buy a decent sound card. If you are running Vista, don't buy a Creative Labs brand sound card unless you like headaches.