There are two primary choices:
The cheaper option is USB, by around £30. But as soon as you want to access the Internet through two computers at the same time, Ethernet is the only way.
To make installation easier, use a wireless ADSL router. This, combined with a wireless LAN card either fitted into your computer or plugged into a USB port, will give your computer wireless access to the router. To go down this route you need to be aware of the security implications; as easy as it is for you to connect to your router, so it is for anyone else in the street or next door maybe. At best you'll be sharing your Internet connection with them; at worst they'll be able to see the contents of your computer(s).
So do all modems work as well as each other? Well, no. I'm currently using a Dynamode R-ADSL-C4 device with four ethernet ports, and it's had a wierd power-up problem from the start. When you turn it on, half the time the ADSL and DATA LEDs light up instantly and it doesn't try to establish an ADSL connection; also, the ethernet ports are dead. The solution is to turn it off and straight back on again. I also recently had a complete memory loss from it, so it was unable to establish an ADSL connection or talk to the computers (since its LAN config had reset too). Very annoying! My advice is to go for a tried and tested brand like D-Link or USR (US Robotics) which have been in the modem business since the dawn of time.
You will also need an ADSL splitter on every other phone point where you want to plug a phone in. Otherwise you'll get a rather noisy phone line, due to interference from the ADSL connection. Interestingly, the ADSL connection itself appears to be unaffected if you do plug a phone straight into a phone socket.
So far, so good. Here's a word of warning, though: if you ever have the situation where your ADSL connection is down (your ADSL router is just blinking at you) no matter how many times you switch the darned thing off and on, don't despair! Try unplugging everything from the micro-filter, unplugging the micro-filter from the phone socket, then plugging everything back in again.
Watch out for prices; they vary enormously! scan.co.uk charges under £2 for instance (albeit with high delivery charges), whereas your average high street store charges around £7.
Using various criteria to determine which companies are the best! (more)