This is an important question that you should be asking yourself in order to avoid future disappointment. Is it the stability that you want? Or is it the security? Maybe checking out the latest hype? Trying something new?
If you want to change from Windows to Linux completely, think about all these. If you are really fed up with the shortcomings of Windows, then read on. If you just want to experiment a little bit or find out if it is some kind of hype, then I suggest you to download Knoppix and run it from your CD/DVD. If you are happy and want to go on, then you can go for a hard-disk install.
If you are stuck with some Windows-only programs or if you are a real gamer, think twice about a complete migration. Maybe it will be better to stay with Windows.