For most of the systems I build I use the onboard sound, because the people I build for don't care about games, and they are not audiophiles. So the sound quality is not that important to them.
Onboard audio has come a long way, todays boards have some good audio built in.
Now, if you want the cleanest, purest sound you can get, then yes you will need a dedicated audio card. There are a lot of choices you can make, based on how much you want to spend and how pure you want your sound. Gaming cards, Audiophile cards, and do it all cards (Not the best choice for high end music listening) You just need to figure out what you do the most and pick.