Re: Where to connect?
I would use the motherboard's fan ports if possible, usually they are monitored and have speed control. However, some fans (like the ones in the Antec Nine Hundred) do not have the motherboard connector nor do they have the third sensor wire (some fans have a motherboard connector but no third wire, the third wire is used for detecting fan speed). If your fan has a motherboard connector and a third wire you should definitely connect it to the motherboard, as you will be able to read the fan's RPM as well as control its speed (not all motherboard fan ports have this functionality, especially when you have many connectors on one board sometimes only one or two of them have speed control).
Another option is to buy/build a fan controller. If your motherboard doesn't have controllable fan speed ports you can get a front panel that has multiple channels to control the speed of case fans. This isn't a feedback system (you can't have it turn the fans higher when the sensors heat up) but you can make your PC quieter.
If you're good with electronics you can take it one step further and build a custom fan controller using a programmable microcontroller chip. This type of chip connects to your PC's serial port so you could write a feedback program to control the fans from PC sensors. I designed a fan controller this way that also controlled the LED color.