This is very true. My brother just gave me a small Onkyo bookshelf stereo system that he got a garage sale or something like that. I believe this system has about 50-100 watts per channel, and I tell you, it makes a WORLD of difference when I hooked it to my PSR-E433, which is a keyboard that was $250 US when new! It really makes me want to play the keyboards again! Of course, I can really rumble when I also turn on the old 100 watt Realistic (Radio Shack) amp that is hooked to a Cerwin Vega speaker with a 15 inch subwoofer in it -- but as I live in a multi-unit apartment building, I am limited to how much I can use that!
If you do end up adding an external amp and speakers, make sure you use a stereo set-up, not mono. These new modern keyboards are stereo, and if you mix the left and right output down to one channel and run it through an amp, you'll get loud sound, but you lose all of the spatial animation, panning, and overall quality that you get with stereo.