The only thing you lose is the capability of picture in picture, and you can only have that if you have an all-in-wonder AND a TV wonder working together, anyway.
Other than that, if the TV-wonder you're getting includes a remote, you're much better off.
Make sure you get a TV wonder with a remote! The remote is priceless if you plan to use it with your television!
------------------
Radeon 9500 (hardmodded to PRO, o/c to 322/322)
AMD AthlonXP 2400+ (o/c to 2600+ with 143 fsb)
3dMark03: 4055