This is true for most of the Linux distributions actually.
I think that for a first test you could try a "live CD", i.e. a Linux distribution that runs from the CD without installing anything on the harddisk. So you do not lose anything if finally you do not like it.
An even more interesting solution is this: http://pendrivelinux.com/
You just need an USB key on which you will install a Linux version. it is faster than the CD, and it can be modified once loaded, which is easier for really working with it.