With Virtual Box and Ubuntu its pretty easy to get started with Linux.

Using the Cloudera image is also very easy.

If you cock it all you will lose is a bit of disk space until such time as you delete the virtual image. Well, maybe a couple of evenings as well!

The only reason I haven't got it running on my home PC is that I've got an ancient 32bit PC with 3GB RAM running Windows XP and cannot run the Cloudera versions after CDH3 and CDH4.1 onwards are the ones where you have a GUI to play with.

Have a look at the SQLBits website for Justin Langford's presentation on HDInsight. Again, its very easy to install this on a Windows box and get started. The idea is that you have a local instance even though it is just one node. It's good enough to try the mechanical bits and bobs even if you haven't got the benefit of the full map-reduce.