Okay, here's how it works (with a Macbook, anyway.)
A Macbook comes wih a wireless network thingee. This wireless network thingee (called an Airport Extreme in Mac-speak) will search out wireless access points that are connected to other thingees which are wired to the internet as a whole. If they are not secured, your Mac will connect (wirelessly) to that thingee which will allow access to that whole Internet thing and provide the ability to surf the net, get email and all the other stuff that one might get with a paid-for wireless internet thingee that a lot of people get for their home.
I know this might be a simplistic way of describing how it works, but that is how it does. For example I have a wireless network at my home that lets my Macbook (and Windows running Dell computer) connect and use my wired internet DSL connection. If I'm out and about with my Macbook it can 'find' and connect to some other wireless networks and I can use theirs if it is not secured. My employer uses such a network which connects by wireless to their wired network that accesses the rest of the internet. Lots of places do. About a year ago I used a dentist's office wireless network while parked outside their offices to chat with my wife to tell her I was coming home soon, and should I pick something up at the store on my way.
Some wireless network are 'secured' meaning the owners only want those who are 'authorized' to gain access to it so they make it so a password is required to access it. A lot of them (most, actually at least where I live) don't. My wife spent a bit of time in a big city hospital, and was able to use my (non-mac) laptop to access one of them and chat with me duriing that time. Depending on where you are, you might find open wireless networks, or secured wireless networks. All of these will be visible to a Macbook. Sometimes they will be one click away from joining in and being able to access the internet; sometimes they will be secured and your friend will not be able to get on the internet unless he/she gets internet access in a different way.
One trend that seems to be happening (in America at least) is places like Atlanta Bread, Starbucks, and some grocery stores providing wireless internet access for free if you come in and buy a meal or cup of coffee and hang out in the cafe. For these types of places a Macbook will be able to connect and surf the 'net with no problems.
Finally, the USB modem option will require that the user (owner of the Macbook) has a subscription to some Internet Service Provider (ISP). He might already have that, but in any event the hardware will not guarantee that one will be able to connect to the internet unless one does. I do know that a lot of Hotels are providing wireless internet access for guests these days. For this a Macbook would be superb. Even if they are providing 'wired' internet access, as all Macbooks come with the appropriate hardware and connections to plug into the ethernet that they might provide.
So modems are nice to have, but are becoming less relevant these days.
I realize what I've written here might be a bit redundant to what has already been posted, but..uh every bit helps right?