Are ethernet-attached modems significantly more expensive than USB/PCI?
I've never regretted buying mine - served me fine under win32, linux, FreeBsd, BeoS.
Al it takes is an implementation of the pppoe protocol, whereas direct HW
support requires USB + a specific chipset drivers. Also, if you decide to grow
a home network and share your high-speed connection, it is much less hassle
to do so by hooking a cheap router to your ethernet modem.

Anyway, which model did you choose? If it is provided by your ISP they
may have drivers for it or you could ask on their support newsgroup, where
someone is likely to have tried.

At least you'll be able to enjoy speedy knoppix downloads in the future ;-)