PCI modems are mostlyWinModems, that is they only work on windows platforms and give some of the burden to the PC, like when you dial up to your isp the mouse pointer freezes momentarily or MP3's stop playing a little bit.
I think most ISA modems are not WinModems, non winModems are a bit better because they do all the work themselves and don't tie up your cpu, they also work on non Windows OS's.
You can get PCI modems that aren't WinModems.
AMR modems are hard to find and not really worth the effort to look for it seems, they do even less of the work than WinModems, this may not bother you of course but if you want your computer to have as many free resources as possible then you should go for a non WinModem modem. They're a little bit more expensive though.
I have heard that WinModems have slightly slower connection speeds than non-WinModems. Someone correct me if I'm wrong.