It really depends on how much you want to drop on in walls. Some are quite good, well thought out speakers with their own cabinets that get installed into the wall with the speaker, others, not so much.
http://www.amazon.com/Definitive-Tec...3564260&sr=8-9
These are just an example of the type of speakers I am talking about but they are representative of what some of the more designed (and expensive) in walls are like. This type of in wall does not depend on the wall cavity to be the speaker cabinet/enclosure as it is a sealed speaker, more like a bookshelf, that get installed in the wall.
http://www.amazon.com/Micca-M-8S-Spe...564514&sr=1-10
These are more representative of less expensive in walls that use the wall or ceiling cavity as the enclosure. When installed directly into a wall these speakers will basically be at the mercy of the space you install them into. In an insulated wall don't expect a lot of bass, in an open interior wall expect a lot of distortion because drywall is a terrible enclosure material. (I installed had a customer that was really excited that the 8" in wall speakers were literally shaking the drywall they were in, but it sounded utterly terrible)
With the cheaper speakers you can sometimes build a box behind the speaker to create a smaller volume that mostly becomes your spear enclosure. (in exterior walls you really want to have the back box installed during construction as it should be taped in to keep your vapor barrier intact) Most commercial back boxes are a heavy gauge plastic, but I have made them out of mdf and plastic vapor sheeting and installed them in open attic spaces with a little silicone. Even heavy gauge cardboard is better than nothing. I used cardboard boxes and plastic sheeting with the cheapest Def Tech in ceilings that were made 2 years ago in my GF's parents dining room and it actually sounded pretty good when it was all done. Installing back boxes into wall spaces is a little more tricky as you generally have less access and less space to work with but expanding foam can be used with mdf or cardboard if you have the space and are careful. Not an elegant solution but it can help the sound quality.
Either way, you mostly at the mercy of your walls when it comes to sound quality as shit walls can make even the most expensive in walls sound like crap and there is always going to be distortion introduced by installing things that shake into drywall.
If you are going for bang for you buck the in walls from monoprice are usually dirty cheap but sound much better than they have any right to once properly installed.
http://www.monoprice.com/products/subdepartment.asp?c_id=109&cp_id=10837