PPPoE is a bad protocol. It was created by well intentioned but clueless ISP folks to solve problems with provisioning, authentication, and billing integration with their existing dial-up infrastructure - problems that were created from the misguided idea that ADSL was going to be a faster flavor of dial-up from the ISP's perspective. Since your ADSL modem hands off Ethernet, a dial-up line is PPP, and your ISP wants to treat ADSL as a faster kind of dial-up, you get.... PPP over Ethernet, or PPPoE. It increases overhead (that is, decreases YOUR usable capacity), decreases path MTU (causing a mess of problems) and adds complexity (which you can hide through a SOHO router). A LOT of folks I know who've had PPPoE-based ADSL connections have said to me that they like the speed and the price point, but that PPPoE is a real headache. I've heard this enough times that I'd avoid PPPoE where possible. But the problem is that low-end ADSL offerrings typically use PPPoE, and so you have a choice - a better connectivity at a higher cost, or more hassle for lower cost. And the cost savings is significant, so home users suck it up and deal with PPPoE.
If you're going to do PPPoE, I strongly second the opinion that you should get a SOHO router and make the PPPoE gorp its problem. This doesn't solve all of the problems that PPPoE creates, but it definitely will make things easier for you. These days, if you buy from a major brand like Linksys or D-Link, your ISP might actually even support you if you have trouble and are using it to do the PPPoE gorp, and so it would probably be worth your while to stick with the major brands.