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I don't know that they need to be extended partitions. It all depends on how many partitions you need to do everything you want to do. But Windows needs (AFAIK) to be on a primary partition. Linux works equally well on either. I don't have any Windows on my box, but I have FC5 on hda5 and Gentoo on hda7. Keeping a free primary partition because I think BSD wants to be on a primary and I might give it a try some day.
Also depends on the distros in question. FC5 doesn't cohabitate well with any other version of fedora. It refuses to install corectltly, and ruins the preexisting fedora installation, so you wind up with a scrambled box that won't boot to hard disk. Haven't tried installing fc5 with any other linux OS. If you try it, let us know the results. Good luck.