Shadow is right about performance, but what kind of system are you looking at?
In a laptop, the tradeoff is typically battery-life. Integrated systems don't perform as well, but usually cost less and have better battery life. Some premium laptop lines come with discrete graphics that turn on and off to provide the best of both worlds.
Integrated is something small that fits on a MoBo.....discrete is a separate card that plugs into a PCI-E GFX slot. Some laptops use both (i.e. "optimus") selecting whatever is needed for the application.