Usually not , because the sound card and the vga card both have their own IRQ (Interrupt ReQuest) , but there are chipsets that are more CPU hungry than others.
RealTek , the mostly used onboard soundcard , is indeed a little more CPU hungry than a standard PCI soundcard.
Integrated capabilities are far cheaper than purchasing seperate products , but you can never replace them.
I've got a MSI K7N2 motherboard which comes with on-board network interface and sound (Nforce2 Realtek soundchip), but i've disabled the on board sound (i have LOTS of problems with it and it sounded horrible when the CPU was busy). I got me a Philips Dolby 5.1 soundcard with the most easy software i've ever seen. No problems at all.