Not at all. Internships are a valid option (well, as long as they're paid), but they certainly are not the only option. You could be contributing to one of the open source projects out there, participating in research on campus, or doing inter-professional projects if your school offers them.
When it comes to education and employment, there is no single right way of doing things.
Respectfully disagree - if your goal is private sector employment.
If you want to go down the academia path, I'm sure the optimal course of action is different, but for private sector employment it doesn't get better than internships.
I've done a lot of interviewing, and while open source projects are valuable, they are largely not as valuable to a company as real industry experience. Now, this differs in degrees - if you're a core contributor to a well known library for example, I'd give that a lot more credence than "hacked on various open source things".
Research on campus also pales in effectiveness to industry experience. Software in industry has a lot of constraints and differences to hacking on your own time, at your own pace, and similarly has a lot of differences to academia.
This is supported by my interview experiences - I interview a lot of masters-level people with impressive rosters of research projects on their resumes, but many of them cannot code at all, to the point where I wonder what exactly they contributed to these projects, if anything. On the other hand, I've never interviewed someone way out to lunch who has a background interning at the "big names" (e.g., Google, Amazon, Microsoft, Facebook, etc).
Having a company with a very high hiring bar on your resume is like a gigantic stamp of approval - people know these companies hire tough, and if you passed their bar (and spent time there, and didn't get fired), you automatically have more cred than someone who worked on anonymous FOSS projects or his/her own projects.
When it comes to education and employment, there is no single right way of doing things.