In my experience, the only time it's worth having a discrete sound card is if you have a kick-ass set of headphones (or speaker setup). For the average $100 set of headphones/$400 speaker setup? Totally unecessary.
That's largely true, but I'd disagree with the specific numbers. You can get headphones for under $100 that will easily demonstrate just how crappy a lot of on-board sound is. My cheapo speakers sound just fine (for what they are) hooked up to my various desktops or laptops over the past few years, but Grado SR60s or SR80s (~$70 and ~$100 respectively) plugged into the same systems have let me hear the entire range of hissing and weird electrical interference out there, to the point that it was more annoying to listen to stuff with them than the speakers despite them having (potentially) much better sound quality, at least until I got an external USB audio device to run them through.
It's enough of a pain these days for me to get a quiet enough room for them to be worth using to listen to stuff that I don't bother very often anymore, though. The cheap speakers plugged straight into the on-board sound are good enough most of the time, or my Etymotics now that I have a desktop motherboard and laptop that both have decently non-noisy sound output. I'm just not nearly picky or rich enough to put more effort/money into it at the moment, because good enough is good enough. Heh.