One way to ease Windows users into GNU/Linux is to encourage them to try free software that runs on both operating systems. Many people are already using Firefox and OpenOffice.org on Windows, but a host of other applications are also cross-platform, including the GIMP and Inkscape. Using these applications is the best way I know of to ease fears that free software is in any way inferior to proprietary. Moreover, when Windows users do try GNU/Linux, they'll feel more at home because they're already familiar with the applications.
You can expand this effort by installing KDE on Windows, which allows you to run applications designed for the KDE desktop in Windows. Although still under heavy development, this is another way to make Windows users comfortable with free software (another project, KDE on Mac OS X, is bringing KDE to that operating system as well).
Yet sooner or later, exploring GNU/Linux from Windows comes down to one of five main options:
Creating a dual-boot system.
Using some form of emulation or virtualization.
Creating a Live CD.
Creating a Live USB drive.
Running GNU/Linux from the same partition as Windows.
Dual-booting is by far the oldest way of encouraging Windows users to try GNU/Linux. During installation of GNU/Linux, you create separate partitions for the operating systems, and add a boot manager to the system. Then, when the computer starts, you choose which operating system you want to use.
Dual-booting is ideal for Windows users who still need a particular application. Its main drawback is that, even though GNU/Linux installation programs are now easy to use, many of the steps involved -- particularly partitioning drives and adding a boot manager -- sound scary to the average Windows user. You may need to persuade your Windows-using friends that the process is safe, and you should probably be prepared to guide them through the process.
Another consideration is the size of the available hard drive. Although this is less a problem than it was once, people with large music or movie collections may still be hard-up for space and not feel like adding another hard drive so they can experiment. A possible solution may be to use Gparted to create a partition for personal files that can be shared by both operating systems. That way, you only need about a 30 gigabyte partition for Windows, and a 15 gigabyte one for GNU/Linux.
But the greatest drawback to dual-booting is that its only suitable for those who have a serious interest in GNU/Linux. By the time you download an installation disk, do the installation, and customize the desktop, three or four hours have probably elapsed. What's more, undoing the dual-boot is likely to take another hour or more. For this reason alone, dual-booting is not an option for those who are only casually curious. It's more a way to wean someone off Windows who is already determined to break lose.
Emulation and virtualization are techniques for running one operating system within another.
Using proprietary software such as VMware or free software such as VirtualBox, you can run multiple versions of GNU/Linux from within Windows. However, setting up these options may be more than curious Windows users want to face. Also, having at least a gigabyte of RAM for each operating system involved is necessary if you want decent performance.