Intel's first Nehalem with integrated graphic inside of the CPU will not exactly get the GPU on the CPU die. The first Nehelem-generation CPU with graphics will use a safe approach called Multi-chip Module (MCM).

MCM means you would end up having two or more of the same of different chips on the single integrated circle or, in our case, on a single CPU.  

You will be able to achieve this by putting an IGP core next to the Nehalem cores and making the pin layout and socket for both chips.

This is definitely a much safer approach than making the IGP physically on the IGP, but this will help Intel to make IGP Nehalem at some point in 2009.

The next generation Nehalem that would come after first one would be the real integrated chip where IGP is physically on the silicon, next to the CPU dies.