This is a very painless way to install Ubuntu without partitioning your HD, installing a different bootloader, and without the use of Virtual Machines. You can get the downloader at http://wubi-installer.org.
Wubi will download and install the newest release of Ubuntu for you. All you do is give it a password and it pretty much does the rest. When you reboot you will see the choice to boot into Ubuntu or Windows. It makes a file on the hard drive (like a virtual machine) instead of using a partition, and can be removed at anytime from Add/Remove Programs in Windows.
All in all, this is a pretty slick way to try it out.
Note: If you are installing Wubi on Windows 7, install the program with compatibility mode set to ‘Vista’ or else it will not modify the Windows boot loader correctly.