A decent ($75+) discrete sound card will usually provide much cleaner sound due to higher quality DACs providing superior SNR that is rarely achievable on the main motherboard PCB.
In the pre-Vista world, sound cards like the X-Fi series had the advantage of offloading sound processing and performing 3D environmental audio via EAX. Mainly argued it was one of the best bang for your buck upgrades possible.
That said, motherboard board sound can be decent. For current gen Realtek CODECs, the ALC889 and ALC890 series are tolerable. Don't venture lower than that.