For beginners, ubuntu.com. Completely self-explanatory, one might even say it's easier than a Windows or OS X installation.

And I recommend you use VirtualBox. Just download the .iso, create a VM in VirtualBox, and boot it up.

From then on, you can pick other distros based on your preferences.

HarmonicFarts
forget virtualbox... www.ubuntu.com best choice.

EDIT: I couldn't even come close to getting it to work... so... it's not that easy.

pilojo
Because you are incompetent and pretend to know the tiniest bit of Linux, yet in reality, you know nothing, and don't even know what a virtual machine is and the difference between it and an operating system.

HarmonicFarts
I can help you easier if you get on IRC, but for now, just press "New" on the top left. a 1-2 gig HDD should be sufficient for ubuntu and anything else you might like to test out (e.g., other DE/WM's). Did you download the Ubuntu .iso yet? There's a big download button on the front page ^^.
Anyway, download that and select it when VirtualBox prompts you for it.

Download wubi. Select "Install Inside Windows" so you can try it. Then, If you like it, download the .iso, burn it to a CD, and make it your main OS.

P.S.
Installing inside windows = Dual Boot

Strangely I started my GNU/Linux life by the command line...
As everyone said you can start with Ubuntu on a Virtual Machine, because it is the easiest GNU/Linux OS in the world.

Mur
My first experience wiped my entire HDD...all 350 megabytes of it.

Now I actually know what formatting a drive means ^^.