Kind of a rough rule of thumb (based on customers reporting mobo header problems over the past 3 years) any fan over .3 amps should be hooked to a power supply lead.
Now a lot of people have no problems even with high speed 120mm monsters drawing >1 amp, but it depends on the board, the fan, your karma, the day's horoscope, and other voodoo. I am just giving you a rough caution point... not a line of death.