The Ethernet/LAN connection is better supported, and will work with any operating system you can throw on your machine -- Windows 95/98/ME/2K/XP, Linux, FreeBSD, etc. The USB connection is most likely going to work only under Windows.
Also, the USB bus is limited to 12mbps bandwidth. If you're in the midst of a heavy download and want to do something else involving the USB bus -- i.e. print, download digital photos, etc -- the heavy load placed on the bus by the cable modem could dramatically slow down those tasks. Or those tasks could noticeably affect the download speed. Either way, an annoyance.
Plus I'm just more inclined to trust an Ethernet connection over a USB-based "network" connection. A decent 10/100 PCI network card can be found for $10; the added reliability and speed is worth the small cost.