While modern motherboards have onboard sound that support up to 7.1 channels, they are a little lacking in other departments such as full EAX support, dolby support and A3D support. Sure, they have some of it, but they are budget build models. It'd be like getting an Intel 3D on-board that can run most games but is not as feature rich, let alone as powerful, as a dedicated 3D card. It'll play 3D games, it'll just be abysmal.
In flight/air combat sims, I don't believe they fully utilize the capabilities of today's more advanced sound cards so you shouldn't really need anything beyond on-board.
For FPS/RPG/etc, a dedicated sound card will make a difference. In some cases fairly subtle, in others quite noticeable.
So it depends on what you play, and what your needs are.