If all you have is nothing but a MS Windows installed PC and since there's like hundreds of GNU/Linux distributions out there these days, let's also assume that you have no idea of what distribution that you're gonna be trying next ;-) and looking for a utility that lets you create a boot-able Pendrive Linux that supports a massive list of distros +, runs inside Windows, then LiLi (or LinuxLive) USB creator is one of the best that I've come across so far without a doubt.
*. As said before supports a massive amounts of distributions such as: Ubuntu (from 8.10 upto the Upcoming 11.10 beta!), Fedora (up to 15 and including the "spins" that includes LXDE, XFCE, KDE, etc), Linux Mint, Cent OS, Chraka Linux, Android x86 project, Mandriva, OpenSUSE, Meego, Lubuntu, Xubuntu, Vinux ... seriously guys, you could easily create a book out of the supported distro list!. Read more from this official page.
*. You can add ISO files directly from your HDD, create one on-the-fly using your optical drive or heck, if you have an internet connection, then you can let LiLi let you download one automatically!.
*. Supports both ISO and .IMG disk image extensions (although the IMG is still in beta).
*. You can either completely format your Pendrive or can leave the existing files and create the boot-able environment.
*. Built in virtualization support via VirtualBox: Basically this option lets you boot into the Linux live environment without rebooting your PC (to use feature you'll need a working Internet connection).
*. Also supports USB devices such as portable hard drives it seems (although I din't test that option since I don't have one :/).
Setting up a disk image is pretty simple and straight forward. All you gotta to do is choose/add your image file, then setup the "persistence" (this will be used as a virtual file system to store your file while using the Live USB key) and hit the "create" button. The rest is pretty much automatic.
All these awesome features + a beautiful interface, they all come for free!. Every time you launch it'll look for updates which you should not disable if you want LiLi to get the support for the most latest versions of GNU/Linux distributions.
Once the process completes, if you have enabled "Enable launching LinuxLive in Windows" option then you can try it directly inside Windows (remember, to run a virtual or a Host OS you should have some decent amount of system resources) or can just boot using the Pendrive.
If interested, you can get it from this LiLi USB Home page.