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.
Performance gain wise like they have said will be minimal IMO. Alot depending on your MB and such. But sound quality wise you can't be a Nice Creative sound card. I can never go back to onboard after having my creative sb cards. I use Logitech Z-680 speakers 5.1. And onboard sounds like crap with them.
One more thing to think about. How much better GPU or CPU can you get if you throw that $50-$100 into one of them instead of a soundcard? Again, with the sound card you are looking at maybe 1-4% better frame rates. If you put that extra ~$100 into a better GPU, you are looking at a much bigger boost then 1-4%.
The only real reason to get a soundcard is better EAX effects, and/or if onboard sound really sounds that bad. I use the onboard audio found on my motherboard, and have it plugged into my surround setup. (Pioneer 7.1 770W receiver with JVC floor standing speakers, which have 15" woofers in the bottoms. A set of Fisher bookshelfs make up the surrounds.) This setup sounds fine to me, but my hearing isn't the best.