I highly recommend kanotix (derived from knoppix - but faster!). It runs like a finetuned german sportscar, and the comparison is valid, because a german guy made it. It runs from a liveCD and will easily install to your harddrive. It's optimized for 586, but when you learn to recompile and optimize your kernel, you can make it boot almost as fast as windows XP.
EDIT: - but better. I've been using linux for a bout a year now. And I can never go back to windows. The learning curve in linux is steeper, but it's definetly woth it.