Another product is Alacos' Desktop Migration Agent, which migrates documents and a broad range of settings from Windows systems. It, too, is designed mainly for corporate migrations and not end users, but it does support a decent range of Linux distributions as migration targets: Red Hat Enterprise Linux, SUSE, Novell Linux Desktop and Fedora Core.
Do it yourself
It's entirely possible to manually transfer all the data and settings from your Windows installation to your Linux installation.
If you're adding Linux to an existing machine, how you deal with your data will vary based on the exact migration process you're using. For instance, if you're overwriting your existing Windows partition, you'll need to back up all that material somewhere else (an external drive or another partition that won't be touched during the migration); if you're preserving the Windows partition for the time being, everything can simply be copied directly from there.
Most major Linux distributions have some guide for how to manually migrate documents and application settings into Linux. Ubuntu, for example, covers most of the major points in its own documentation, including pointers on how to move mail from Outlook and Outlook Express into Thunderbird's mail format (which can be used as is in Linux).
Most Linux distributions place the user's files -- documents, e-mail, just about anything they create with an application -- in a directory, typically named /home/
Some applications also create their own hidden directories within your /home directory to store user-specific data -- Firefox, for instance, creates a directory named /.mozilla/firefox. But there's little chance that the name of any directory you'd create would collide with another such directory (and if it did, you'd be warned about it).
Moving everything over manually is not too difficult if most of the data you work with is not intimately associated with your Windows installation. For instance, if you keep all your user data on another drive or simply in another, non-application directory rather than in Windows' \Documents and Settings\
If you keep your data in the \Documents and Settings\
If you want to be really cautious, create a directory within your Linux home directory and restore your files into that to minimize the chances that your restored files might collide with something created by an application or the system itself. Everything can always be moved around later on.
Moving application settings between Windows and Linux versions of an application is a different matter, and the process will vary widely from application to application. Sometimes the settings for the application are stored in a stand-alone file that you can easily move to the Linux version of the program. This is not always possible, however, so you need to approach this step with caution.
An example: Mozilla's Firefox browser, which runs on Linux and Windows (among other operating systems) keeps user bookmarks in a file named bookmarks.html. In Windows, this file is kept in the directory %AppData%\Mozilla\Firefox\Profiles\
Other Mozilla applications follow the same basic concept: The Thunderbird mail client keeps its user preferences in the same type of directory -- /home/<username>/.mozilla-thunderbird/