PCI/E NICs do work better because they handle everything themselves, the onboard Lans rely on the Processor for everthing.
This is why they Hyped up the Killer NIC so much, sure a $40 Intel GT1000 can have the exact same effect on your ping, but hey... why not just believe the hype and waste the extra 100+ $$
PCI or PCIe, depending on which slot you have available won't make a difference between each other as long as it's a normal single port NIC... sure they have some that have like 6 ports on them crazy cards... but we are talking the normal user here.
NIC vs. Integrated: (Round 1)
NIC:
Pro -
1. Less CPU Usage
2. Lowers your ping they usually have better lan chips (non Realtek!)
3. Transfer rates between computers tend to be higher ^ Same reason
4. Allows for more complex network options
Cons -
1. Use up a slot
2. Cost $$ most don't see the need to have "another" lan port
3. "Average" users honestly won't notice a difference.
Integrated Lan:
Pro -
1. Technically Free (comes with pretty much any Mobo now)
2. Most don't need more then what they can offer.
Cons -
1. Slower then then NICs
2. Cannot Replace (if you don't have an extra slot for a NIC)
3. Uses Up Processor cycles (most likely very minimal but still true)