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Hmm... cs-cam lived up to his signature there, didn't he? hehehe
My choice of distro for you would be Suse, because it's probably going to be the most comfortable for you to get started with. My guess is that as a reasonably sophisticated Windows user, you'll probably find KDE much easier to use than Gnome, and Suse is by far the most comprehensive KDE-based distro out there. Failing that, you could try Kubuntu (rather than Ubuntu), for similar reasons.
As for Wine, it can run a good number of Windows apps, but there are some programs that will never be likely to run under Wine, and Visual Studio is definitely in that category. You do have a good chance of being able to get your finished programs running under Wine, though.
Now if that means I dual boot or run two seperate boxes (linux for personal and xp for work) that is fine with me.
That would be the only sensible idea. Whether you want to do Windows programming or not is irrelevant is it not? You have to for you job and that's the end of the story. Running VS2005 in linux isn't a bright idea, dual-booting is a bright idea if you want to try linux but need to continue to use Windows which you do.
It's not like you're only getting half the experience or anything, there are a crap load of people here who do it...
Any Linux distribution will work. I suggest Gentoo because the compiler is already installed.
Dual booting can be a pain at times because you have to stop what you are doing and reboot. VMware gives you the possibility of running two or more 80x86 operating systems at the same time.
I do not recommend using WINE to run Windows programs that are going to make programs for production systems. Who ever thinks that WINE can be reliable and stable enough to be used for production systems are idiots.
What programming language should I get into for linux - Java, Delphi, C, other ?
Another Viable option would be VMware Server (which is free) and install Win XP Pro on top of it. There is a project that runs on Linux that allows for C# programming as well which I note was not mentioned - the projects name is MONO and is cross platform. I realize that it wont be possible to run VS2006 on a Linux platform but you can put in a VMware or you can try Mono.
As for distros I personally like my Slackware distro - it offers a lot of freedom in how you develop and play with it - and I do a lot of programming in PERL as my language.
Happy Developing and Linuxing and welcome to the fold.
The best distro for Windows development is Windows itself, unfortunately. I do know folks who write their code on Linux (using Emacs. Ugh!) and compile/debug on Windows, but that's akin to folks who like to use the BFH for everything, even when a screwdriver is more appropriate for the job.
If you must run Linux for Windows development, You might find Win2K or WinXP running in a qemu/kqemu instance to be an acceptable solution, and if you have an MSDN license you will even be 100% legal (even including Microsoft's skewed perception of legality which ignores your first sale and fair use rights) because they "allow" ten concurrent installations per subscription, per engineer, and make no distinction between a physical PC and virtualized environments.
If your desire is for Unix shells and tools, check out cygwin.
One more option is to use remote desktop. I have a Windows box just for my team's website, it uses ASP. So, I do all of my editing of the files on my linux box, transfer them over to the Windows box and remote desktop into it to test them. I also sometimes edit them this way, since I can't get EditPad Pro running well in Linux and the syntax highlighting for ASP is not good in any Linux editor I have tried.