Miles V. Aronnax

As a former IT professional, I occasionally get questioned by fellow physics students about how to install Linux. Usually, the questioner has heard about dual boot and wants to install Linux because they are using it for work / research. However other, often better, options exist for people who don't want to switch over completely.

Virtual Machine (Personal Favorite)
http://www.virtualbox.org/ VirtualBox (Open Source)
http://www.vmware.com/ VMware Player or Server
http://www.microsoft.com/virtualpc/ Microsoft's Virtual PC
A virtual machine like any of those listed above lets you install almost any operating system and run it inside your real operating system. What do I mean? Let's say you are running Microsoft Windows. If you installed VirtualBox, you could then install Ubuntu (or most any other Linux, BSD or Windows) as a new "guest operating system". The guest operating system runs in it's own window, and everything inside that window is Ubuntu; everything outside the window runs just like normal. For more information, see the links.

coLinux
http://www.colinux.org/ (Open Source)
Cooperative Linux appears very similar to the virtual machine option, but it isn't really a virtual machine so I felt bad trying to put it into that category. There is a little learning curve for setting up coLinux, but it can be worth it.

Cygwin
http://www.cygwin.com/
Personally, I try to avoid Cygwin, but some people use it and like it. Rather than installing Linux, Cygwin ports Linux programs to Windows. This gives it the bonus of running code as fast as possible while still in Windows (as opposed to the slight slow down created by running another whole operating system which the other options above do).