Ubuntu is a distro. Gnome and KDE are window managers. Ubuntu uses Gnome as the default window manager, but Kubuntu uses KDE. Either can be configured to use other WM's such as Blackbox, Enlightenment, XFCE etc.
I'd like it to be a little less sluggish than Windows
Don't expect that. The only distro I have seen that got close to Windows responsiveness was Yoper. You can get a pretty fast distro by running one of the more minimalist WM's, but then you are also losing a fair bit of functionality.
Do you mean have multiple distros installed at the same time?
Um, well, you can have multiple distros and multiple WM's installed at the same time. Within an installation you can set up as many WM's as you like, and you can dual-boot several installations.
Linux itself is a command-line OS, like MS-DOS. You use it with a shell like bash. X-Windows sits on top of Linux and gives you a graphical interface for the shell. The Window Manager runs sits on top of X-Windows and provides all the stuff like toolbars and wallpaper. It can be useful to remember at times that when using Gnome or KDE, all you are actually seeing is an abstraction and interpretation of a command-line. All the graphical-based configuration programs are basically just editing a dotfile (a text configuration file, kinda like the registry except there's one or more for each program rather than one for the whole system) somewhere and if you loaded that dotfile (so called because Linux system files often begin with a period, like ".conf", to hide them) in a text editor you could duplicate any effect.
See
http://tldp.org/ for more info. Lots and lots of information there.