Yes, but your question can mean several different things.
- Partition your hard-drive and put linux on a separate partition and "dual boot" with another OS.
- You can install it on a Virtual Machine, like Windows Virtual PC 2007 (available for free).
- If you don't want a lot of hassle, you can try Wubi.
As for the original post, I would add support for Ubuntu Linux as the first distribution to use.