This is a very painless way to install Ubuntu without partitioning your HD, installing a different bootloader, and without the use of Virtual Machines.  You can get the downloader at

Wubi will download and install the newest release of Ubuntu for you.  All you do is give it a password and it pretty much does the rest.  When you reboot you will see the choice to boot into Ubuntu or Windows.  It makes a file on the hard drive (like a virtual machine) instead of using a partition, and can be removed at anytime from Add/Remove Programs in Windows.

All in all, this is a pretty slick way to try it out.

Note: If you are installing Wubi on Windows 7, install the program with compatibility mode set to ‘Vista’ or else it will not modify the Windows boot loader correctly.