External modems have all the processing done within the modem itself and do not rely on the CPU or Windows to assist. As such they therefore offer greater speed and also less drain on the system resources. The disadvantage is the extra power supply needed and the additional desk space.
I always had internal dial up modems (but never a winmodem) but have opted for external for BB - but I also wanted a router for etworking of and distriboution of internet BB conncetion to a second PC, my son's PC and my laptop.
Would add that I would always go for ethernet. Heard too many tales of USB modemsdropping connection because the USB was not able to maintain sufficient and constant power. Ethernet modem (nearly all of them) also offers greater connectivity than a USB modem.