My ADSL modem is running from the USB port and I don't think it has caused too much problems. However, now that you mention it, it could be what caused my computer to not boot up with enough power going to devices and also for warning messages about power usage from USB hub. I don't have evidence it caused this though.
My ADSL works well however, if it costs the same for a PCI then it may be better to choose that. It'll save you some desk space at least and its one less item you need to dust. If you've got a few computers on a wired network, go for the Ethernet option.
I've not used an ADSL PCI modem or Ethernet modem but I'm sure the PCI one won't be too different, but it will mean you've got more unoccupied USB ports. On a network the Ethernet will be good because your internet connection will not be dependent upon one computer's internet connection.