If you are heavily into proprietary gaming then Windows XP or Windows 7 is your best bet (forget Vista, think ME 
)
If the above does not apply to you then you really should be running GNU/Linux, to not you are just paying hard earned cash for an O/S that locks to in to a way of working that Microsoft believes is right for you. GNU/Linux gives you the ability to do whatever you want with your O/S for free.
There are so many different Linux distributions that it can be very confusing for people starting out.
Stay away from Gentoo, Slackware and other ones in that category as they require some knowledge of Linux and will make for a steep learning curve.
For a beginner I highly recommend Ubuntu but would also recommend Fedora or Suse. These distributions have a much smaller learning curve because you can do pretty much everything without needing knowledge of the Linux terminal. This gives you a chance to get into Linux and slowly become proficient in the way it works.
Ubuntu also has an option to install it as a Windows application (Google Wubi) so you can try it out without even having to format or partition your hard-drive.