USB:
Pros:
bus-powered
cheaper?
Cons:
Hard to find drivers for anything but Mac and Windows.
Can't be connected to a router unless a computer act as a router.
Internal PCI card:
Pros:
internal
Cons:
Probably hard to find drivers for.
Don't work as a router unless the computer acts as one.
External ADSL modem connected to the NIC:
Pros:
Can be connected to allmost anything.
Can work as a router.
Cons:
external
Needs its own power supply.
Personally, I use a Topcom Webracer USB modem. Has worked perfectly so far...