Linux-compatible 56k modem
The HylaFAX Handbook has some documentation about making sure you have a compatible fax device. According to that document, external serial modems will work almost without exception, but some external USB modems may be softmodems and require a driver. Regarding internal modems, that document references some chipsets and model numbers that are known to work.
Once you find a device that you intend to use, it probably wouldn't hurt to search for it in the hylafax-users mailing list archive to see if another user has encountered a problem with it.
The HylaFAX website also has Hardware Compatibility List.
External modems that plug into a serial (RS232) or USB port usually have all the necessary electronics. Most Winmodems (requiring Windows software to supplement their deficiencies) are internal. “Hayes compatible” or a mention of compatibility with DOS, OS/2, Linux, SCO, or anything other than Windows is an indication that the modem will just work under any OS. If in doubt, look for a model that other people have used under Linux, perhaps second-hand.
As much as this question is very old and answered. I would like to add something further.
For USB modems, "cdc-acm" compliant USB modems will present themselves as a serial device. They are usually self contained and small, with all required hardware. Latest verisions of linux kernel has a module to support these kind of devices out of the box.
Some examples of modems known to support this cdc-acm standard (you'll have to do some diggging) are http://www.usr.com/products/modem/modem-product.asp?sku=USR5637 and any modem containing the Conexant 93010 chipset (I am using the latter myself, and they are quite inexpensive). As Gilles mentioned in his answer, if the manufacturer mentions linux support, then it probably is cdc-acm compliant.