Another variation is the "AMR" modem - it goes in the small slot on the motherboard. AMR, or "Audio Modem Riser" lets the audio chipset on the sound system process the modem audio signals.
The bad news is that the audio chips don't usually do a very good job, and data rates may be slow. The good news is that it's cheap (usually $15-20)
Once again, you get what you pay for.
Howard