Difference between an Analogue multiplexer vs ADC chip with lots of channels
Sometimes you really need to simultaneously sample several inputs at the same time and a separate ADC for each channel is typically used. For example, the TI ADS1274/1278 has 4 or 8 channels of decent ADC. 

If your ADC (on chip or otherwise) is fast enough to sample all the channels in turn then you can perhaps save money and power by time-sharing it between the channels.