It is probably more work to partition your hard drive and install Linux seperately, but IMO it is well worth it.

At the Egghead.com auction site, I picked up a refurb IBM ultra SCSI 4.3 Gig HD for $31 including shipping. I stuck it onto my SCSI bus and installed Linux on it. The only tampering with the Windows drive consisted of writing Grub to the MBR.

Cheap enough at the price to play around. When I get the system to the point where I decide to put it into production and start the transition off NT, then I can if I choose copy the whole thing to a new HD.