That CPU has Intel HD2500 graphics built into the processor, so yes it's onboard.
Problem is those CPU's aren't officially launched until next week.
AFAIK Intel has an NDA on prices at the moment, so most places aren't showing prices for them yet. It's about £25-£35 more than I'd expect to pay for the outgoing equivalent CPU with identical motherboard and RAM, but this might just be because of the premium added on when anything is new.
What is your current PC spec? Be useful to know to make sure any upgrade's going to be worth it!