Best option is to add another hard drive and use it to install whichever distro you decide upon (I personally have Fedora 7). You can configure GRUB to allow you to boot to either Windows or Linux by default.
The only real downside is that if that one drive fails, you have to reinstall everything on both OSes. Of course, if you have a back-up image available, it's not a big deal. When running multiple OSes, I prefer dedicating one hard drive to that particular OS.