Right way to go
This has already been done by the various other chips and SOCs that are out there. PA-Semi put Ethernet onto their PowerPC flavoured device. Freescale put Serial Rapid I/O onto their 8641D PowerPC processor too (where it works jolly well in my humble opinion). ARM devices everywhere seem to have an implausibly large number of different interconnect standards built in.
It really is high time the big chip houses like Intel got round to doing the same. But it does lead to some interesting consequences. First and foremost is that I strongly suspect that many existing standards will die. For instance, if you've got 40Gb Ethernet on your CPU, what's the point of having PCIe onboard too? Why not just have Ethernet running around inside your box and having everything as a network attached device?
Intel are very good at putting large numbers of transistors into a single device, and I'm slightly mystified why they've not done this before. For example it surely wouldn't have been difficult or costly for Intel to put Ethernet and Serial Rapid I/O on their chips a long time ago, and we'd now all be making use of it.