Is Linux really worth it?

I'm installing a virtual machine on my laptop and will install either Windows XP (what I'm using now) or Ubuntu. I'll be using this VM for anonymous surfing and extra security. So, which do you think is best security-wise, Windows or Linux? I've never used Linux before, but I know that Linux is much safer than Windows. Is it worth the hle? I have some Windows programs I'd like to keep, but I could probably use them with Wine if I need to. So is Ubuntu a good idea? Are there any Linux distributions that are more newbie-friendly? Thanks.