Depends on the visual quality you want and how much performance you are willing to sacrifice to get it. FXAA does smooth out most of the edges, so turning AA on in game may not yield a huge visual improvement. On the other hand running games without FXAA and using MSAA does give you a sharper picture, as you aren't using a post processing filter to blur out the edges while making the picture blurrier overall.
It would depend on the game, there are lots of games that don't have AA support at all, or only support something like FXAA, so in those cases you are kind of stuck with FXAA. For games that do actually have MSAA support, you will get better picture quality with FXAA off and MSAA on, assuming your video card has enough horsepower to maintain acceptable framerates with MSAA. One of FXAA's big advantages is the small performance hit it exacts compared to other AA techniques.