Multiple partitions on machines is the answer.
I've
Gaming rig: Vista x64, Backtrack 3 (looking forward to CUDA support in Aircrack-NG ;) )
Primary laptop: Vista, XP, Backtrack 3
Old laptop: Ubuntu, XP
Eee PC: XP (HD), Backtrack 3 (SD)
Server 1: Ubuntu, FreeBSD
Server 2: Win 2003, Win 2008, Win2k
Only machine I run one on is my main workstation I use for work which is XP.
Acronis Disk Director is great for resizing/creating partitions without losing data if you already have a windows installed on a machine.
You could also try out OS's with live cds and usb drives before commiting.