Well, if you are not dual-booting with Windows then it's usually as easy as
insert cd and
follow prompts - depending on which distribution you prefer.
Setting up a dual-boot with Windows isn't too difficult - if you're worried about partitioning your hard-drive then I recomend
Suse as I've found it to do this particularly well
Other Linux distributions you could try include
Ubuntu,
Mandriva and
Fedora but there are loads - a bit like choosing a pre-customised car (and then being able to customise it more later)
If you want to try Linux but not install then just boot up a live cd (Suse does one on dvd, Ubuntu has a live cd - there are loads).
Knoppix is a very nice live Linux distribution (runs in memory off a cd, doesn't install itself on the hard-drive).
Personally, I'm drawn in by Ubuntu at the moment which I may try later this week to try out xgl (as demonstrated
here).