There's no doubt that a sound module has better sounds than an arranger keyboard. An arranger keyboard is a jack of all trades - but professional at none. The reason I use my arranger (Tyros) is because I need a keyboard which can do everything - and for that I have to compromise on the sound.
One sound I wasn't prepared to compromise on though was the drums, so I use a Roland V-Drum TD-6 in conjunction (MIDI) with my Tyros.
Chony
Btw, if you want even BETTER sounds, nothing beats software instruments! They are sampled at much higher rates, and are usually specialized. (Ie: you can't buy a module with just woodwinds - but you can with software instruments --- once again the same jack of all trades rule.)