No, not necessarily. The only reason many get an external is the fact that 99% of the time, it's a hardware modem, which doesn't sap CPU cycles and other resources like a lot of winmodem's. That doesn't even guarantee you better pings - my old SupraMax (winmodem PCI) gave me on average 20ms lower than my SupraExpress (hardware PCI). Quality of modem and brand counts more than external/internal.
AFAIK, USB/serial modems have some definite lag to them, at least the last time I used one. Just get a good internal - USRobotics, Diamond, (if it still exists) that's all I can think of at the moment. Also remember that the quality of your phone lines and length of phone cord also make a difference in terms of connection speed and pings.