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It's not so mysterious. I get a DSL line from Bell Atlantic. It costs $50 a month (not including ISP provider, about $10/mo.), about what we pay here for cable plus some movie channels. It's about ten times as fast as your modem. Not always tho, because a slow web site/server is going to be slow no matter what you have.
Setting it up was pretty simple. You need a network card and some kind of modem-like gadget (sometimes called a "bridge device.") The line uses your regular phone wires, and you can use a phone at the same time you're online (and you're always online; no dialup). Somebody has to come to the house to split your phone line and run the wires. In the deal I got, Bell basically gave me a network card and pseudo-modem for free. Installation was free too.
The main advantages are avoiding the hassle of dial-up, having access to the regular phone, and downloading files. Some web sites speed up a lot, many do not.
max