For a linux newbie, I would suggest a few guidelines.
First. No win-anything. Winmodems, for example. There are, I've heard, hacks to get them to work, but I havn't looked into them. And even if there are, it's just an extra hassel.
If your using a linux distro off-the-shelf, so to speak, don't go for the absolute top of the line in graphics and sound cards... The off the shelf distro might not have the best support for them, if at all. Now, of course, there are ways to get them working, but it's just another thing to worry about when your trying to learn linux. For example: GeForce 3 = Good. Top-of-the-line geforce FX released a month ago = less good.