Wubi
I came across Wubi, a Windows program that let’s you install Ubuntu inside Windows into a single file that is seen as a disk partition by Ubuntu. It is not as safe as the real thing, it is not supported by Canonical, and some things (like hibernation) do not work. However, it seems useful in certain cases.
Another interesting option is UNetbootin, which creates an actual partition for the OS.
Powered by ScribeFire.
Actually, it will be supported by Canonical since it is part of the Hardy live cd