Right tool for the job. If you have the space and perhaps are trying to connect a lot of components, separates may be the way to go. If you're trying to wring that last 1 or 2 percent of sound quality out of your system, separates may be the way to go.
If space is limited, a well made integrated can work great and sound just as good, or so close that it wouldn't be noticeable, as separate components from the same brand. You should also get more bang for your buck, since with an integrated you're only paying for the engineering and manufacturing of one enclosure.
One of my friends has long used an integrated in his system, and it is by far one of the best sounding systems I've heard. It's relatively modest, but what makes his system so good is his room and the care he has taken matching and setting up his components, not the amp/preamp.
I have 2 systems built around integrated amps and two built around separates. I like them all. The main system sounds best and it is build around separates, but again, that is more a result of maximizing my listening space and having good source components and speakers than whether my system is built around an integrated amp/preamp or an integrated.
It all matters, but that choice should be made based more on space, budget, and aesthetics than sound quality in my opinion.