We need a LOT more information before we can even begin to answer your question.
What kind of modem do you need? Dial up, cable, DSL, ISDN, satellite, etc.? Who is your ISP? What games?
If you are connecting over dial-up or satellite, you're going to have high ping times no matter what modem you use simply because of the way these connections work, although a good quality modem might improve things somewhat on dial-up. If you are on cable, DSL, or ISDN, the 'best' modem for you will depend a lot on what your ISP will actually support.
Also, are you sure the problem is with your modem and not the computer (or game) itself? I get 40ms ping times on most Internet games over my cable modem, but some games still lag sometimes simply because my PC can't keep up (my computer is rather old). Even with the very best of everything in your computer and more hardware speed than a game could possibly need, it's still possible that a software configuration problem or other failing hardware is causing the issue.