Depends on your use, both are as fast, as not many people get over 50mbps broadband anyway If you have a wireless network and computer will be no where near the router, the wlan card is better, lol, seeing as you can do nought without one.
The on-board does not have wireless functionality, so if you will be connecting to your router wirelessly then the second option is what you should choose. However I would advise going with the PCI varient (don't think there's a performence difference) but it's best to have a PCIe slot free than a PCI.
Rule of thumb is if you don't need to connect wirelessly, don't! Connect through an ethernet cable (wired connection) to your ONBOARD 10/100/1000 GIGABIT LAN PORT. This is ultimately the fastest, loss free, higher security way to connect.
However if you don't want to run a cable to your computer or can't, wireless is normally pretty good.