PDANet tethers to use the phones 3G connection, are you trying to use dial-up with your phone for a specific purpose or do you just want internet?
Using PDANet to utilize your phones 3G connection is much faster than dial-up and as long as your not trying to use the phone for a RAS connection there should be no point to use it as a modem
EDIT: But yes PDAnet IMO is the best and easiest to set up