This server is running on Ubuntu 10.04 LTS
With the Ubuntu Live DVD you can, as suggested, boot off it and try it out.
You can also install it alongside windows, it creates a file system within a file on your hard drive, no need to partition, and give you dual boot.
Learning curve can be a little steep, for example you will have an ordinary user account and have to 'sudo' to do any admin stuff - like system updates.
The root account in Ubuntu does not have a password, but that can be easily changed so you can log on as root
Running Windows Apps, not as hard as it used to be as WINE has evolved, I have run IL2 on Linux quite well.
Dedicated servers can also lend themselves to running well under Linux - again this server we are on here runs a Windows based dedicated server (Warband) very well and attracts sufficient donations to pay for itself (a hungry server that consumes upto 165GBytes daily!!!).
If you want to experiment without installing you can also grab a copy of Virtualbox and setup a VM, this is also open source:
http://www.virtualbox.org/
I also have a server running Centos, which is essentially RedHat but the free version without support and somewhat delayed updates.