1. All devices will need to install drivers at least. I haven't seen one yet that doesn't also need software to operate.
2. I prefer USB, I would suggest they may give better signal however this is more of a question of personal preference based on form factor.
3. I would consult with your carrier about potential sim locking issues. If say a device is provided by Vodafone UK that doesn't guarantee that it will work with a Vodafone Spain sim card. They should be able to clarify.