edit:d'oh - beaten to it..... damn you, Mavis Beacon, for not teaching me to type quicker.
Linux has another option, as well as the dual-boot scenario, for those that are just starting out. It's called the Live-CD.
Briefly, there are now several distributions (Knoppix was the original, I believe, but you'll find Mandrake, SuSE, ubuntu, etc...) offering this Live-CD version. It's a slightly cut-down version of their original distribution (mostly just the extra add-on apps that are less used are just removed) that will not only fit on to 1 CD, but also runs completely from that CD. Personally, I'd recommend
Mandrake Move
What happens is that you boot with the Live-CD in your drive, then the Linux will create a ram disk so that it can install the entire kernel into memory and run any applications that you will use from the CD.
What this means is that you're running a true version of Linux entirely in memory without anything being written to your HDD. You're safe to play around with this version of Linux safe ni the knowledge that if you do something wrong you won't have borked your Windows install, as nothing is getting written to it. When you're finished, you simply reboot back into Windows.
It's not an ideal situation - as you can imagine, it means that things will run slower than a normal install, as things are being pulled from the CD rather than your HDD. Also, you're more limited to what you do get installed and what you can install yourself. However, for getting to grips with Linux without having to worry about dual-booting, it's an ideal starting point.
Yet another reason why Linux is so much more of an interesting OS than certain other ones I could mention
