PWM fans also are known as "4-pin fans" because they have 4 wires to the motor (and hence 4 pins on their connector). If your mobo fan port(s) has 4 pins, you really ought to connect a PWM 4-pin fan to it. If you were to connect a 3-pin fan to that port, most likely that fan would run at full speed all the time and NOT be under mobo automatic control - this would be the same as connecting such a fan directly to a power output from the PSU.
Your mobo may have both 4-pin and 3-pin fan ports. For any 3-pin port you should use a 3-pin fan. But if you connect a 4-pin fan to a 3-pin mobo port, it WILL work under automatic control - that's the backward compatibility feature of the new design. It just will not be absolutely ideal for a small technical reason. So one way to look at this is to say you can ALWAYS plug a 4-pin (PMW) fan into either a 3-pin or a 4-pin mobo port and it will work.
You CAN connect 2 fans to one mobo port in general using an adapter. The limit on this is the large start-up current for a fan, and a "rule of thumb" is that most mobo fan ports can start up 2 fans, but maybe not 3 or more.
There is one other consideration, here. One of the wires (the third line) on both 3- and 4-pin fans carries a pulse signal of the fan's speed from the fan motor back to the mobo for counting. If you connect two fans together in parallel on all lines to one port, the mobo ends up receiving two simultaneous series of pulses, and cannot figure it out. So when 2 fans are connected to one port, only ONE of the fan's speed signals on line 3 should be connected; the other fan's speed line should NOT be connected.
This adapter:
http://www.newegg.ca/Product/Product.aspx?Item=N82E16812162026
does the job well. It connects 2 PWM (4-pin) fans together to one mobo port, even making sure that only ONE of those fans feeds its speed signal back - note the missing pin #3 on one of the connectors. What it does not mention is that you could also use this to connect a pair of 3-pin fans to a mobo 3-pin port.
Personally, I prefer to use automatic control of the fans through mobo ports. A third-party fan controller allows you to control each fan exactly as you wish, because you set each speed manually. BUT that also means that YOU MUST set those speeds. As your computer's workload changes and heat generation changes, it is up to YOU to decide when and how much to adjust fan speeds.
Automatic control by the mopo ports, on the other hand, uses a temperature setpoint and a measured actual temperature to adjust fan speeds to keep the measured value at the setpoint as heat generation changes. Usually there are two separate temperature control "loops" like this. The first is for the CPU: it uses a temp sensor built into all CPU's, and it controls the only fan connected to the CPU_FAN port, so you should ALWAYS connect the CPU cooler only to this port. The second uses a temp sensor built into some spot on the mobo - spot chosen by the mobo maker - and it controls one or more of the mobo SYS_FAN port(s). In each case, typically the mobo BIOS uses info on the CPU installed and other mobo features to set the setpoint for each control loop.
If you have a 3-pin fan port labelled "PWR_FAN", this is NOT an automatic fan control port. It is intended for use with some PSU's (not all) that have a 3-wire set coming out for connection to this special mobo port. Its only function is supposed to be to feed a speed signal from the PSU's internal fan to the mobo for monitoring; it does not actually control the PSU's fan.