In terms of sound quality, the built-in sound on any Mac is actually very good (as good as any SoundBlaster card for two-channel sound). Macs have always had great built-in sound because 1) lots of audio professionals used them; and 2) not very many third-party solutions were available. There have always been high-end audio add-ons for the Mac, but only recently have we seen consumer-level solutions.
The main things you get from an add-on (consumer) sound card are:
1) Line-in and line-out jacks (some "A/V" Macs have these, but not many recently)
2) Digital out and even digital in on some cards (some electrical S/PDIF, some optical)
3) Support for gaming audio technologies like EAX
4) "Surround" support
5) Hardware handling of audio vs. software.
While sound is partly handled in hardware on the Mac, it is all funneled through the OS' Sound Manager. This is good and bad -- the tight integration of Sound Manager with the rest of the OS and the built-in hardware has been a great thing for both consumers and professionals because the quality is great and it's easy to include sound support in applications. However, it also means that your CPU is doing work that could be done by a third-party sound card. Using a third-party sound card means that sound processing is handled by the hardware on the card, which should offer better overall performance for games and the like. However, all that said, the legacy of Sound Manager means that third-part card makers have had to learn how to pry sound management away from the OS, and there have been a lot of quirks with the new SoundBlaster card. This won't be a problem with OS X once Creative releases drivers, but in OS 9.1 and earlier, SoundBlaster cards were a mix of good and bad for the first few months. They've gotten a lot better, though.
dhwilkin mentioned the Audiophile 2496. That's also Mac-compatible, and offers much better performance than the SoundBlaster cards and the built-in hardware. It's 24 bit/96kHz, offers line in/out, digital in/out, MIDI in/out, includes a built-in digital mixer/router, and provides SCMS control. However, it's a lot more expensive.
In terms of the Onkyo and Yamaha "external sound cards," you get most of the same things, like more in/out jacks (analog & digital) and surround support (on the Yamaha units). You also get external digital/analog conversion, which they claim is better because of less interference from the internal components of your computer -- I don't know if I buy that considering that the data is going across USB. And that's the downside -- all these external devices get audio data from the computer via USB (unless you have a soundcard with optical out... but then you don’t really need the external device). USB audio is nice and easy, but given that USB is processor-dependent and has many "rules" about which devices get bandwidth and how much, at times USB audio can skip or just act buggy (Mac or PC).
So what it comes down to, IMHO, is whether or not you want/need:
1) More in/out connections
2) Special processing like surround, EAX, etc.
3) Higher-end sound (the Audiophile 2496)
Another thing to consider is that certain Mac models don't have a line-in jack, while others don't have mic-in. So these solutions will often provide those things, as well. However, cheaper solutions exist, like those from Griffin:
http://www.griffintechnology.com/audio/index.html
Finally, on an interesting note, if you plan on doing high-end audio work on your Mac, Mac OS, upgrade to Mac OS X. A group of researchers at Johns Hopkins just published research on audio latency on various computers, and found that Mac OS X's CoreAudio code provides significantly less latency under load than any other OS/hardware combo. An older PowerMac G4 running OS X even beat out a dual-processor 933 PIII system with a pro audio card and Linux (Windows is actually pretty bad in terms of audio latency). This is also relevant for gaming, where audio latency affects how long it takes you to hear an event -- can't wait for those OS X games to start rolling out
