To flesh out Sathya's answer a bit: In most systems, the same PCIe lanes are used for both the IGP and the PCIe-x16 slot for the video card. So either the slot can be used or the IGP. This means you can't even put non-video card devices (e.g. RAID controllers) into the x16 slot without losing access to the IGP -- you'd still have to install a video card in a different slot!
Late Edit: It appears that on Sandy Bridge systems with an H67 (and probably Z68, when they launch) chipsets, it's possible to run both the onboard GPU and an add-on graphics card at the same time. Other 6-series (and later) chipsets may work as long as both the CPU & MB Chipset support Intel's Flexible Display Interface, a DisplayPort-based standard that gives the integrated GPU a direct connection to the onboard video connectors.