If you want to actually run the Windows OS right from within Linux there are currently three options:

Win4Lin

Win4Lin installs Windows 95 or 98 in the Linux file system, allowing it to boot up as if it were a Linux application, it copies necessary contents of the Windows cdrom to the Linux filesystem, no need to partition or format a drive. It's truly amazing how fast Win4lin installs, boots up and shuts down Windows.

Win4lin currently supports 95 and 98 only, does not require alot of ram and runs very well. At this time there is no support for DirectX (games) but it will run most of your MS applications, as well as allow you to connect to the internet and share files with Linux.

Win4lin cost about $79 download or $89 for the package version, there is no trial version available however it comes with a 30 day guarantee. Win4Lin is a little tricky to install, you'll need to know how to patch and recompile the linux kernel and is only guaranteed to work with certain versions of Linux.

VMware
 

VMware recently decided to shoot themselves in the foot by no longer offering the much less expensive home version and is now only offering their "Workstation" version that will run 95, 98, NT, 2000, FreeBSD and Linux which costs around $299 US.

VMware creates a virtual PC with a virtual hard drive and BIOS. It boots up the Windows OS from within Linux, just as if it were a separate computer. VMware runs great but requires quite a bit of ram to run efficiently (128mb of ram and a 266Hz processor or "faster"), I would definitely recommend "faster". Installing the Windows OS from within VMware is the same as installing it directly to the hard drive only much slower. Once you've installed the OS you can access the internet and run most MS appz with the exception of Direct X games which are not yet supported.

I have a VMware how-to here should you decide not to go with the much cheaper Win4lin.

Plex86

There is also an application that I have not yet tried, called Plex86. This is an open source (free) program that does basically the same thing as the above appz. The beta version is reported to be able to run Dos, 95, NT, NetBSD and Linux successfully. Plex86 is made by geeks and it's not going to install as easy as Win4lin or VMware. Plex86 is under heavy development at this time and there is very little documentation available. If they get it to run as well as the others and it being free and all, how can you go wrong.This should be a very promising application to watch.

Summary

These programs accomplish the same things in very different ways, if you know how to patch and recompile the linux kernel or don't mind learning, then I would recommend Win4lin.

If you want to be able to run Windows games in Linux I would recommend checking out WineX from Transgaming. WineX now supports Direct X 8, you can search their site to see if your favorite game is supported.