I heard years ago when I was in high school that internal modems were faster than external because it took external longer to transfer data to the computer from the modem, but I personally have no experience with external so I don't know.

That wasn't true. Bytes receive and send are travel at a speed of light. Thus, what make internal and external modem different in speed is internal modem really depend on computer resource to work while external work independent without using any computer resources. It just receive data, demodulate it from analog to digital and send it to computer. Curently I'm using US Robotics 56k Message Modem. I really impress with it performance.