Another great resource for downloading Linux distributions is from the ibiblio ftp site:
ftp://distro.ibiblio.org/pub/Linux/distributions/
Everyone has their own preference for distros, and so do I...

Different distros have been likened to flavours. Imagine a coffee store with a dozen flavours of coffee. Some may vary from others in taste mildly, some drastically, but it's all coffee in the end.
I'm an old Slackware fan. I've been using slackware since version 3.4 (sometime in 1998), and I prefer it hands down.
You'll slowly find yourself not going into M$ Windows as much as you did before... most of the great games have been ported to run on linux, there's a desktop productivity suite that looks JUST like Microsoft Office, there's Netscape, Mozilla, and Konqueror (great browsers), AIM clients (gAIM), IRC Clients (BitchX), MP3 players, etc. There really aren't many advantages any more to M$ Windows (were there ever?)
Good Luck!
Oh yeah, you wanted to know if you could concurrently have a M$ and a Linux OS on the same machine. This can be accomplished with a program called LILO, which ships default with all current versions of Linux. It can either create a boot disk or install to your MBR. It will give you a selection of which OS to boot from.
"In a world without fences and walls, who needs Windows and Gates?"