Well your going to be most limited by wanting to stick with FAT32 for the linux partition. FAT32 doesn't provide the nessicary posix-style functions to keep Linux happy, however people have worked around this issue and use a thing called UMSDOS filesystem, which provides the functionality to make FAT32 work for linux. The extra information that FAT can't handle is stored in special files. THis is transperent to the end user, but these files show up to windows.
Plus you get a big performance penalty.
THere are specific distros designed to handle this, for example peanut linux, phat linux, and dragon linux. But these are cut down OSes designed to be run from the same partition as windows. A kinda trial-style distros.
They are OK for trying stuff out, but nowadays we have something better.
Linux live CDs are CD's that contain a complete OS that can run without installing anything (or like SUSE only a couple easy-to-delete files). You have SuSE live-eval CD, and Knoppix are ones that I am familar with. Mandrake has one, as does Gentoo (which have a couple game-based ones, too)
You can get these thru links from Linuxiso.org.
Otherwise try out one of the UMSDOS-based linux distros.
If you want to use Linux "for real" its much more preferable to have a native partition running ext3 or one of the numerous filesystems that Linux supports. (for performance and reliability)