Yeah, LiveCDs are a good way to get a feel for a distro. That's something which takes a little getting used to - Linux is really just the core of the OS - the kernel. A "distro" or distribution is a collection of some version of the Linux kernel, and a big collection of everything else which makes a working computer system. This includes all the libraries (like dlls in windows), config tools, programs to control how the system boots up, starts and stops services etc etc...
In the Windows world, these components just come from Microsoft as part of the OS, but in the Free Software world they're mostly separate projects. Now, you could try to build up your own system from these components, but it's quite a job. Hence the existence of the distros. These are Linux setups - the distro maintainer (sometimes a business, sometimes just some nerd in his/her bedroom), gathers version of components which work well together, bundles them up and, umm, distributes the result, usually in the form of an installer CD.
There are a LOT of distros. Since the distro maker decides what gets put in and what gets left out, there are many specialised distros for specific purposes such as firewalls, network connected storage, penetration testing and forensics, TiVo-style media boxen, demos of new programs etc etc etc... The list is large. For general purpose desktop usage, the big names are (and I will miss some out here and annoy their fans): Red Hat (the "community" (free) version being called Fedora), Ubuntu, Debian, Slackware, PCLinuxOS, Mandriva, Gentoo, Mepis, Xandros, Linspire. etc etc etc.
A LiveCD is a special type of CD which will run the OS from the CD without having to touch the hard disk. There are limitations to this of course - load speed is limited by the CDROM, which is not usually very fast, space is limited to the size of a CD (or DVD), you can't save files permanently (not strictly true, but humour me for now).
There are quite a few LiveCDs out there. Some of them, such as the Ubuntu LiveCD, double up as an installer, so you can play with the LiveCD and if you decide to install, you just select some thing from inside the LiveCD environment, and install from there. They're pretty cool, but just remember to take the limitations into account.
So... I suggest the first step should be to get a bunch of LiveCDs (you can download CD images and burn them to disk, or run them in vmware of similar). To find out details about the various distros, check out DistroWatch