In the past I used XMing, but recently I tried andLinux. It's really great for a seamless Linux integration in Windows!
From the andLinux-Site:
andLinux is a complete Ubuntu Linux system running seamlessly in Windows 2000 based systems (2000, XP, 2003, Vista; 32-bit versions only). This project was started for Dynamism for the GP2X community, but its userbase far exceeds its original design.
andLinux uses coLinux as its core which is confusing for many people. coLinux is a port of the Linux kernel to Windows. Although this technology is a bit like running Linux in a virtual machine, coLinux differs itself by being more of a merger of Windows and the Linux kernel and not an emulated PC, making it more efficient. Xming is used as X server and PulseAudio as sound server.