Multi-boot and partitions
Re dual-boot, I've been dual and multi-booting on my home systems for years, with Grub. Sucessfully with Linuxen, which will happily run from anywhere, only partly with Windows, even when I let it have the first partition available.
I failed with Win98 on a used Thinkpad A20M, wouldn't resize (so I just hosed it and put Linux on it anyway). Succeeded with current R40 with XP, resized and put Debian Lenny on it. (Would I dual-boot a Windows box that had some vital stuff on it? No, I wouldn't *breathe* near a Windows box that had some vital stuff on it. Not without backing it up twice first.)
I also often multi-boot several Linux distros - just trying them out.
Partitions - I use one for Windows (if it's there), one for the OS, a spare or two for the OS, a swap, and one or more for 'data'. And I keep all my stuff in 'data'. That way, if I should screw up the OS, or I want to experiment or upgrade, my data isn't affected. I can just put the 'new' version of Linux in the spare OS partition, give GRUB an entry for it, use it for a few days, if it works OK then I carry on using it. This also makes adding new hard drives or retiring dodgy old ones quite easy. And my networked laptop can share the data very easily.
Getting Linux - I've never downloaded a distro (on a slow connection? Several GB's worth?) There are a number of excellent sellers on the Internet (maybe not Ebay:) who will supply Linux distros on CD/DVD for very cheap prices. Shop around. If you're cautious, I think it's possible to check the MD5 sums of the disks against the distros' websites (though I've never bothered).