As long as it's a real modem not a Windows soft modem (basically a DSP and your PC did all the work) it should work.
Well this one Conexant cx-fu02 (amazon) does not work
USB HSF Modem:
Product ID: 0x1300
Vendor ID: 0x0572 (Conexant Systems, Inc.)
Version: 1.00
Speed: Up to 12 Mb/sec
Manufacturer: Conexant Systems, Inc.
Location ID: 0xfa122000 / 7
Current Available (mA): 500
Current Required (mA): Unknown (Device has not been configured)
I can see it in Mountain Lion via System Profiler, but I can not access it. Does not come up as a port....
No drivers for OSX