HCL?
If you can find a really cool store, you may be able to ask the salesperson if the NIC is based off the realtek chipset, and things of that sort. I happened to get luck I guess, and just bought the cheapest I could find, and it was supported.
Soundcard, I have a SBLive and it's supported as well as the new audigy, in fact I think most SB cards are.
Modems, I have heard that if it's internal, it's most likely winmodems. You may want to check
www.linmodems.com (I think that's the site anyway) and they may have a list of winmodems that are compatible with very little work.
Video cards, it appears to me that the Nvidia cards are the most supported cards for linux. Of course I have really no way to back that up, just from the q's on here, and the fact that Nvidia has linux how-to's on it's site.
This would really be easier if you actually had an idea of what you wanted to get, and then we could tell you if it's compatible or not.