Now, on to the actual migration process.
Let Ubuntu do it
Ubuntu Linux tries to make the migration to Linux as easy as possible by allowing you to automatically migrate user files and even some system-specific user settings from an existing Windows installation.
Right now, Ubuntu seems to be the only major distribution that has such tools as part of its setup process, though perhaps that situation will change as Linux grows in popularity. If you want to switch to Linux now, and you'd like your distro to help you with your migration, Ubuntu is your current best bet.
When you begin Ubuntu's setup, it scans all the available drives in the current system and looks for any Windows installations. If it finds one, it'll display all the users in that Windows installation and allow you to choose which ones to migrate to Ubuntu, as well as what types of data to copy over. The choices are not very granular -- you can't elect which specific files to copy, for example, just general categories of files -- but they're useful. You can choose your Internet Explorer favorites, for example, or your currently selected wallpaper, your avatar, and the contents of your My Documents, My Music and My Pictures directories.
Another nice thing about the Ubuntu upgrader: It works regardless of the source or destination of the data. If you have Windows on one partition or disk and want to install Ubuntu somewhere other than where Windows is right now, the upgrader will copy over any Windows settings and documents it finds (and/or you can tell it which files you want to move).
This way, the upgrade is completely nondestructive -- meaning the original data isn't touched in any way. Ubuntu doesn't yet support switching to Ubuntu from within Windows -- i.e., something where you'd boot Windows normally, insert the Ubuntu CD and start the switchover process there, rather than just booting the Ubuntu CD directly and beginning the switch that way.
If you're curious, you can read about the proposed future directions for Ubuntu's migration feature on the distro's wiki. Mozilla Thunderbird, for instance, is one of the third-party programs that the Ubuntu developers want to be able to migrate settings and data from in the future. Also on the drawing board is that ability to begin the upgrade process to Ubuntu from within Windows itself.
Use a third-party application
If you're using a Linux distribution that has no integrated migration tools and you're not comfortable with the idea of trying to move things around yourself, there are third-party utilities designed to alleviate a lot of the heavy lifting. However, be forewarned that these tools tend to be written for enterprise and corporate users rather than individuals -- they're really geared for helping sysadmins with mass migrations.
MoveOver 4 is a commercial application that migrates all of the most important things -- documents, look-and-feel settings such as wallpaper and fonts, user preferences like browser bookmarks and cookies, and so on. This takes a lot of the tedium out of migrating many of these things manually, especially things like network drive and printer mappings.
The big drawback to MoveOver is that the range of Linux distributions it supports is rather narrow. The program only supports Novell Linux Desktop 9 and Linspire Five-O as target distributions in the 4.0 version; Version 3 only supports the Sun Java Desktop System and Fedora Core 2.
That said, there's also an open-source branch of the product, OpenMoveOver, which consists of a community edition of the Linux-side components. These pieces can be used by developers to create migration tools for other distributions, so it's entirely possible that other distributions will be MoveOver targets in the future.