Ethernet is usually the better choice, particularly with a connection straight to the modem. Sure, USB 2.0 is "supposed to" provide "up to" 480Mbps (that's mega BITS per second), but can the modem handle that much? Probably not. On the other hand, ethernet should give you more than enough bandwidth to handle everything your modem can put out, and you never need to worry about a driver-a serious problem with USB devices and Macs.
So use the ethernet. If there is a USB Mac driver for your modem, try that too and time downloading something with both that and the ethernet connection; there's a vague possibility that USB would be at least as good. Just don't bet on it.