All internal modems or external modems connected to the serial port should work. Alas, some manufactures have created Windows 95 only modems. Check Appendix D for Linux incompatible hardware.
A small number of modems come with DOS software that downloads the control program at runtime. These can normally be used by loading the program under DOS and doing a warm boot. Such modems are probably best avoided as you won't be able to use them with non PC hardware in the future.
All PCMCIA modems should work with the PCMCIA drivers.
Fax modems need appropriated fax software to operate. Also be sure that the fax part of the modem supports Class 2 or Class 2.0. It seems to be generally true for any fax software on unix that support for Class 1.0 is not available.
Also multimodem cards are supported by Linux.