As long as u get a decent mobo (nForce 2) then the native LAN wont eat up too much CPU cycles, but the 3Com onboard, for example (which is the second onboard on an nForce 2 mobo) is very high utilisation, compared to the others. The advantage of having the stuff onboard, is not so much price (a WOL card is bout a £10 now) but more the advantage of not having to mess about with any expantion cards (leaving 5 or 6 PCI free) but still being able to run e.g a cable modem through the one onboard LAN and your home network through the other onBoard LAN.
As for graphics onboard, these are only really if you are not someone who doesnt use graphics intensively, and are usualy the equivalent of the "MX" versions (talking about the nForce (GF2 MX onboard) and the nForce2 chi8pset (GF4 MX onboard)), and do not have DSVI, TVOut etc but still perform reasonably well. The Xabre onboard previewed at Comdex should hbe interesting also, it actually has the graphics memory **OnBoard**. The onboard graphics are of course cheaper
As for sound onboard, unless you are wanting to buy the AMR/CNR riser with the extra channels, then this is really only for an OEM type user base as well, and even if you do have the riser, it still does not have all the features of, say, the SB Audigy line of cards.
Firewire onboard might be quite useful, but is no subsitute for a DV card if you are video editing on it.
I reccommend some of the new nForce 2 boards, a good comprimise between price, features, stability + performance (the board must have for Athlon XP!!) You can buy ver. -graphics if you want to buy a better AGP card as well
Enjoy!