I would recommend this as the first base for narrowing down your options.
http://www.lycoris.org/links.php?op=viewlink&cid=1
Check the list, then compare prices from your favorite stores - This list also includes DSL modems.
This list is good in that it states modems that explicitly do not work. As long as the modem you get is not a WinModem, or requires some proprietary protocol to operate (like the Alcatel modems) you should be golden.
There is a site somewhere - someone here might have the URL, that is dedicated to modems under Linux.