well it's always good to backup first, but it's not that risky these days to just go on and do it.
the obvious choice would be ubuntu for you as a starter. other user friendly distros are OpenSUSE or Mandriva. although i keep away from them...
ubuntu installation is pain free and almost all defaults work fine. it resizes some your partitions to make a new one for ubuntu and installs it.
the experience is similar to windows but it's different at the same time. you'll have to be prepared to get used to slightly different stuff. generally it's all fine, but i'm talking from my perspective, where i like to customize my os as much as i can ( i can't be bothered with ubuntu in this field )