Most people have had satisfying results with the Logitech X-540 5.1,myself included. http://www.newegg.com/Product/Product.aspx?Item=N82E168...
Coupled with a decent soundcard it's a good budget set-up.
Onboard audio will limit results imo.
Out of curiousity do you have the latest audio drivers for your mobo?
It will make a difference usually.