Similar to XP's NTLDR you can ask a Linux boot loader to multi boot a number of systems in a PC.
You will find XP allows a maximum of 10 entries.
Linux has several boot loaders but the two most frequently used are Lilo and Grub.
Lilo can do 15 systems. I haven't found out a limit for Grub yet but it is good for 50+ as far as I am concerned, as I have got all the above boot loaders working together in my box.
Only a limited number of the current Linux CD or DVD are installable into a hard disk. Examples are Slax, Gentoo RR4, Koppix, Puppy and Damn Small Linux.
I would go with Slax as the first timer to download just a small CD. Suse 10 needs 4 to 5 CDs.