It's pretty easy with linux. Just partition your hard drive (or drives) into more than one partition before installing (using a live cd if you like, but most installers give you the choice during their setup program). Then just make sure your /etc/fstab points the partitions at the correct spots in the directory tree and you're done.
For instance, I have three partitions on my desktop (plus a swap partition) on two different drives. One is mounted to the root filesystem ('/'), one to /usr, and the third to /home. So my fstab looks like this:
/dev/hda2 swap swap defaults 0 0
/dev/hda1 / ext4 defaults 1 1
/dev/hda3 /usr ext4 defaults 1 2
/dev/hdb1 /home reiserfs defaults 1 2
Run 'man fstab' at the command line for more details than you could possibly use. You can partition any hard drive you don't have mounted using cfdisk.