All external modems connected via a RS-232 serial port should work.
Internal modems are another story, however.
In fact, it seems that most PCI modems are winmodems. Some of them do have drivers for Linux now, but many of the drivers are often binary-only. See Linmodems.org for more information on Linux-supported winmodems. These modems cannot be upgraded under Linux. A small number of modems come with DOS software that downloads the control program at runtime.