You could boot from a separate hard drive, but there is really no point to do so immediately. Like the other guys said, you can use a virtual machine at first so that you don't need to get rid of Windows completely until you know a little more about how the new OS operates. Additionally, several distros (including Ubuntu) offer Live CD's which lets you run the OS directly from a cd. You can download an .iso of the cd and run it right from your desktop, so you don't need to wait for it to be shipped to your house.
Ubuntu is probably the best choice for a beginner, imo. It has a GUI pretty similar to a MAC OS, but it also offers the classic linux shell if you choose to start learning the inner workings.
Hope this helps.
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