It depends on what modem you've got, and which Llinux you're running.
I have an internal PCI Winmodem (Etech Bullet), supported only by Win98 - it doesn't even work under WinNT.
This modem works perfectly running RedHat 7.2 or Mandrake 8.2.
I just installed Slackware 8.1, modem is detected but I haven't tried it yet.
If your modem doesn't work today, chances are good it'll work with next version of your Linux - Linux adds hardware support for each new version, Micro$oft removes suppport for each new version.. :P