I'm actually going to play devil's advocate and say....actually install and try out several distros. One note to start with though is learn how to partition a hard drive correctly (that is, separate your home folder from your root folder, makes the process much more enjoyable)
Why I say to install:
1. A lot of times things just "don't work" in live cd's and people get mad but don't realize that installing makes it much easier (example is wireless, to install the driver you need to, or almost always need to, restart the computer, once you restart you lose what's in your RAM which is where the driver is to begin with....so if you have a wireless card that isn't supported out of the box, unlikely you'll get it working)
2. If you're seriously thinking about leaving Windows, or making Linux a bigger part of your life  it's better to treat it as an OS rather than "just another piece of software", I did live cd's for a long time but always was a 90/10 for Windows/Linux, once I devoted a piece of my hard drive and set Grub to boot Linux first....I became a 99.99/0.01 Linux/Windows man
3. If you don't have a lot of RAM you might run into issues because every piece of software you "install" from a live cd is only put on your RAM, if you run a live DVD it avoids some of this but none the less, you should have at least 2 gigs of RAM to do this, I run 4 and still have filled it up relatively fast using a live distro.
4. I'd say it's relatively easier to make the system look the way you want with an installed distro, again because things are stored on RAM, one restart, everything you do is gone. Neither my KDE nor my Gnome boot look or function like they did out of the box, and I have to say that I very much like mine over the "default"
so...that's my take, try 2-4 distros, depending on level of expertise/desire to learn, install one at a time, use for a month, then move on....after trying 2-4 choose the one you like best and go back to it
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Ubuntu 9.10 the Koala of all Koalas
Dell Studio 17, Intel Graphics card, 4 gigs of RAM, KDE & GDM
"The beauty in life can only be found by moving past the materialism which defines human nature and into the higher realm of thought and knowledge"
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