If you like having a gui, go ahead and use tightvnc. It's a nice program. I've used vnc several times on windows machines and it is realy easy to use, never used it on a *nix machine though.
Otherwise ssh is da bomb in my eyes. Secure remote managment is something that is "cool" in my book. A good windows client for it is putty.exe. Usually a ssh server is installed by defualt in the majority of modern *nix installs. Very little to set up.
I'd probably get both setup. Tightvnc and ssh. In linux/unix their is no realy right way to do anything, everybody has their preferences. Most people end up praising cli, just because of the speed, power, and control you have over everything is a good feeling after comming from windows, were the OS treats you like a plebian, but distros like redhat and mandrake put considurable time and effort into making usable Gui menus and configurations. No reason why you shouldn't be using them. Just keep in mind that using gui configuration menus and wizards can be a bit of a crutch and that you'll won't be able to do a lot of things that other people can do if you don't learn the underlying OS well. Namly simple programming, scripting, high perfomance, highly specialized configurations and using cutting-edge tools and applications. (don't worry that stuff is a bit overrated anyways 😛 )
As far as the OS goes. FreeBSD, Mandrake, Slackware, Debian, Redhat, Suse, OpenBSD, Netbsd. Go ahead and try them all if you want. No real reason why you shouldn't be swapping OS's like old t-shits. At this stage you'll probably be f-ing everything up anyways. Got to get rid of the "fear" of messing up your OS. it makes it more enjoyable when you can experiment without punishing yourself for every little mistake.