Depends.....
Are you wanting to run it "stock"... then you need an ISA modem on COM2...
But....
If you're going to run Windows or Linux, then anything should work that drivers are available for.
My $0.02...
I wouldn't use a cheap 'winmodem'. The processor is underpowered enough already. The standard (BTS?) modem was a 'full' modem, so it offloaded the data processing that winmodems need.
Cheers,
gr8_brit