I remember my first introduction to Linux: it was probably the most painful, mind numbing task I've ever had to slog through. Mostly because I came into the whole thing expecting Linux to function like Windows or Mac OSX. The big thing to remember is that Linux is its own creature entirely. There's no way for me to pass along all the tips that I would like to, since there's so many and each have so many exceptions...
For right now, here are just a few tips for starters:
1) Don't go overboard. In a fit of freedom, you may or may not be tempted to just delete Windows and use Linux as your only OS. DON'T DO IT! You will need Windows, at least in the beginning as “home base”. If you experience a problem in Linux, it's always nice to be able to do whatever you need to do in Windows and then fix the problem you have in Linux. So, I would strongly suggest dual booting.
2) Linux will not play DVD's. At least not at first. You will have to buy the codec from Fluendo.com if you live in the US. If you live in Europe, you can just download the codec. So please come into Linux knowing that you can't just watch a DVD, you will have to arrange some things to do that. On a similar note, media files (like MP3, MP4, AVI...) will not be played by Linux's native media players. (Like Rhythmbox or Totem). You will either have to download/buy the codec from Fluendo.com, or download a player that has these codecs already. (Such as VLC player).
3) Linux does not install files like Windows or Mac OSX. You can not just download an .exe file and double click. In Linux, you will either have to use the software center (easiest and best solution), or you will have to install your apps one piece at a time. (And this is the most frustrating thing I have ever had to learn about Linux. I have had to hunt for over twenty files just to install one app.) That and there is no real backwards support: a package that worked in a previous version on Linux, will not work well in a new one. (Say, GIMP for Ubuntu 10.04, WILL NOT WORK for Ubuntu 12.04, you will have to get the 12.04 version of GIMP for Ubuntu 12.04.)
4) Linux is not a magical, fairy-land OS. It is capable of breaking down and freezing, just like any other OS. However, I have used many different OS's and I do find that Linux is by far the most robust/reliable. All I am saying is don't expect Linux to be perfect, it was made by flawed humans, and will therefore be flawed to.
5) Linux can not do whatever you want. The biggest example I know of is gaming. Linux does have some games of its own (Heck, Valve is getting ready to partner up with Linux.) But it still has far fewer games than Windows. So if you want a gaming set up, Linux just isn't for you.
This is the most general, across-the-board advice that I can give about Linux. I hope this helps. Please let me know if you have any more questions, I would be glad to help.
“The journey is not the destination, it is how you get there.”