really good speakers are wasted on a poor sound array, and on board sound is the best example of this. End of story. Anyone who says different does not know what they are talking about, and is talking moocow poo. Sure, there isn't the difference there used to be between o/b and a dedicated card, but comparing the two used to be like comparing a kick in the sensitives to a lotto jackpot win. The difference is less pronounced these days but is still quite a gap, even with digital outputs.
Poor sound arrays will create noise (unwanted interference) within their outputs, will give less perfect waveform outputs, will be able to provide less power on the outputs, and will distort more and easier, especially at high volume. They may also be more sensitive to outside electrical interference. Even poor quality cables can have an immense effect on the end product. The benchmark of any sound system is not how loud it will go, but how much of the sound being produced is still there at the lowest audible volume - cheap, poor stuff will lose certain parts of the sound at low volumes. On board sound, is usually a step below the cheapest of soundcards in quality, and you WILL hear the difference on a decent amp/speakers unless you're hearing impaired.
On board sound doesn't take much CPU power when used with modern CPU's but the drain is there. Also they use some memory, memory bandwidth, and processor bus bandwidth. the last two are the most damaging to performance in modern rigs, being how powerful the processors are, and the amount of memory we have these days. multiple core processors still only have a limited amount of bandwidth to deal with, and can use it all up much easier than single core items. Better to have sound load on the PCI bus rather than the CPU data bus. And dont forget, the sounds in games these days are far more complex, numerous, and precise than they used to be. I can remember, a long time ago, my PC would not play music whilst doing anything else(it was fine just doing that), through on board sound, the sound ticked and popped and hitched all the time - plugging in an earlyish soundblaster card (we're talking mid 1990s) fixed this, i could browse the web, chat on a messenger and download the odd thing. Later, in the SETI1 days, running a CMI 8738 card which was basically an on board setup adapted to be a plug in item, worked exactly the same as on board, used to make ~5-8% difference to the crunch time over the other card i had, a Soundblaster128.
The same applies for on board/cheap network cards - they use the processor to decode packets and this will use some of your vital power for things other than games.
Spending loads of money on a decent soundcard if you're going to use poor amp/speaker setups is just as pointless as using decent speakers with on board sound. but if you use a half decent soundcard and some good speakers, you will notice the difference both in gaming performance and sound quality. On board sound is designed for people who use speakers that cost £8.99 and only want to hear the random beeps from MSN and windows startup tunes, with maybe the odd voice chat here and there.
EDIT: if you want to try this without spending too much cash, look around for a cheap Soundblaster Live! 5.1 or Audigy soundcard. Then purchase a set of half decent, say £50-75ish amplified speakers. Then listen to a wide variety of sources (games, music of different genres preferably direct from cd, etc) through it. OR a cheaper solution, if you have a decent stereo within wiring distance, connect the soundcard up to that. most stereos have a 2xRCA Auxillary input - 3.5mm to 2xRCA cables can be bought from any decent electrical retailer.
