An active sub has a built in amplifier. Active subs are far and away superior to the vast majority of passive subs (the likes of some SVS models excepted). They handle greater volume and tend to go deeper than passive subs, such as that bundled together with the Sony.
If you want to improve the sound of the Sony rather than starting from scratch I'd suggest adding an active sub such as Velodyne's VX10 (look in the power buy forum ~£199 IIRC), this is connected to the subwoofer out phono terminal on the back of the Sony and the Sony's own supplied sub is no longer used.
Hope that helps.