Actually there is another option: run *nix in a virtual machine under XP. There is a nice LAMP appliance using Xubuntu as a VMware appliance that is trivial to install and get going, although lacking things like 'make' out of the box is a bit of a surprise!

Take a look at Grandmas lamp if you want to try this option. Take a look at http://blandname.com/2008/02/21/the-10-best-vmware-virtual-appliances for a few other options.