Ok, so I have another post on howto install linux.
This is just a short list of the top options – all this stuff is covered elsewhere, so I won’t be boring.
The basic list is: dual-boot windows machine (a favorite of mine), a Mac (ok, it’s FreeBSD, but you could also do linux under parallels), Vmware Player, Vmware server + your linux of choice, a live CD (e.g. Knoppix, but there are a bunch now).
To me, it seems the Vmware Server or dual boot windows or mac are the real options…