Here are some personal notes on setting up Linux VM's on Windows. The VM's are beautiful and can be run in full screen mode to provide a "real" look and feel of a basic Linux installation. You must have a multi core processor to do this, and the Linux distro will be 32-bit only, but this is a great way to get used to the environment!
Why would anyone want to do this?
Well, some features of R just work better (some, only) on Linux. A Linux VM is a likely basis for a web server, say in a cloud service like Amazon Web Service. Learning to live in a Linux environment expands opportunities.