I'm new here, very new to Linux too... but I've been dancing with several distros for the past year.
If you're looking at playing with Linux, but aren't sure about it yet, try a bootable distro (AKA "Live Distro") that boots from a CD... like Knoppix or Mepis.
Burn the ISO to a CD and it will boot into Linux without installing anything on the HDD. Mepis has a handy installer built in - right from the desktop.
I've played with these so far:
Mandrake (9.1, 9.2)
Fedora Core 1
SuSE Linux 8.1
So far my favorite is Mepis, hands down.
Once you download the ISO for whichever distro you decide to try, it should boot from the CD-R to start the install. It's very similar to Windows, but I'd recommend partitioning your hard drive before you install.
I like QTParted from Knoppix or Mepis Live CD's it's quick and easy.
Other than that, cross your fingers and hope all your hardware is recognized and configured from the start... that's the most frustrating part of any Linux distro, IMO.