Depends on manufacturer/model... Some of them work, some of them don't... Download "PPP Widget" and try for yourself, if you can get it working.
I tried with my OPTION modem, but didn't worked... Though, it's gotta be said... that was like a year ago or more...
I have also tried a Vodafone Greece 3G USB modem once and unfortunately it didn't work. I'm not sure if it had to do with my custom rom though (KatKiss 5.1.1)