I am using Sun VirtualBox to have a Linux development environment on my Windows PC. Sun offers VirtualBox for Linux and OS/X hosts as well.
I highly recommend it. It makes me a lot more comfortable knowing if I screw something up (as I learn Linux) I am not hosing my main operating system and it can be a closer-to-production environment.
Me neither. That's why I use a VMWare image of a linux server that closely resembles my production server for development.