Thumper and Slingsman,
A lot of people do simply run a cable from their headphone out to an amp/PA, from what I've read. Personally, I don't like this setup myself...sure, it's more convenient, but if the cord gets bumped or moved, a lot of headphone ports can end up causing crackling and so on. I think this might happen due to dirt/debris that can collect inside the port, but that's a complete guess on my part. It's also a very slender and not robust connector, so if it is jostled while things are going on up on stage, you could end up with damage to your laptop, or a broken cable.
I recommend an audio interface. They'll have more output options, higher quality sound , and you have the added benefit of being able to run lower latency and true ASIO while taking some of the processing burden off the computer's CPU. I use an E-MU 0404 USB 2.0, but I can't really recommend this one as it's given me lots of problems with MIDI not going through to the computer, as well as with the sound card getting "stuck" open so it can't be used in other programs. Very frustrating.