Not so much these days, it's more of a 'sound quality' thing to most people. Onboard sound has come a very, very long way in the last few years and is easily comparable to what was on offer as 'premium' cards a few years back.
Personally I like them because of extra features (headphone amps for example) better sound quality (in my opinion) and often-times, better mic-input .. I've found on-board mic inputs to be notoriously shit compared to a half decent pci/express option. Simply because of interference or corner cutting.
Before you ask, no, don't buy anything from Creative unless it's an X-Fi that you have sourced either second hand or otherwise, their Recon3D based stuff and latest ZXR are pants and should be avoided. If you want something decent grab one of the Asus branded Xonar cards, for headphones not much touches the Essence ST/X, for speakers and surround sound one of the other offerings is better, or the Essence 2 with the 7.1 add-on card.
Most of it is very personal preference, but to the short version is no, you don't *need* one, but you may very well want one after you've heard one with a good pair of headphones
