A "virtual machine" allows you to create a "virtual" computer system for running software that won't run on the host system, or, needs to be insulated from the host system. VM's give you the ability to run multiple operating systems at the same time on the same physical hardware. I am running Fedora 11 as the host and other versions of Linux, DOS and/or Windows as guests.
I started out using VMWare workstation, and it served me well over the years. While the price was not unreasonable, it was not free. There is a VMWare player that will let you run virtual machines, but the workstation license is "required" to create virtual machines.
More recently, Phil, another co-worker, turned me on to VirtualBox. I have found it to be every bit as useful, stable and easy to use as VMWare at my kind of price point. Free.
Having virtual machines can give you the ability to run software (Tax Cut in my case) once in a while on Windows, while maintaining the security of a Linux system for daily use.
I also gives you the ability to engage in "high risk" activities on a virtual operating system (like experimental system configuration changes or testing the effectiveness of virus protection software). It also helps me support friends and relatives on different operating systems as I can walk them through the things they need help with from the comfort of my desk.
Finally, just like Linux, when you take the worry and hassle out of doing something, it just might become fun again.
These are screen shots of a few of my "virtual" boxes, all of these screen shots were made on my main Fedora 11 machine running ....
Linux - Fedora 12