The only real decision you need to make with these is whether to make the USB stick "live" or not. In this context, "live" means that you can not only run Linux from the stick, but you can also save settings, install programs, and keep new files on the USB stick itself.
From here you can try and/or install Linux just as if you were using a DVD. The only difference is you'll tell your PC to boot from a USB stick. (Although some older PCs will refuse to boot from a USB stick.)
When it comes to installing Linux on Windows 8 PCs, your choices are more limited. The only easy way to try out Linux on one of these machines is to use a virtualization program. These enable you to run another operating system on top of your existing operating system (Windows 8 in this case). You can also, if you like, use virtualization software with XP or Windows 7.
Image credit: flickr/Mariusz Chilmon
There are a slew of virtualization programs out there that can do the trick, but my personal favorite is Oracle's VirtualBox.
Once you have a virtualization program installed, you'll need to download an ISO image. You don't need to burn the image to anything. You can just use the downloaded ISO image files on your PC for the installation 'media.'
There's also another option if you use VirtualBox: VirtualBoxes. This is a Web site with a library of ready-to-go VirtualBox compatible virtual machines (VM). While these aren't always the most up-to-date versions, it does have more than two-dozen popular Linux distros for you to choose from.
Unless you enjoy playing with operating systems (Hey, I do!), I advise you to simply follow the usual download the ISO file method.
With VirtualBox running, to install a "guest" operating system, just click the "New" icon and follow the wizard's instructions to install the VM. After that, you click the Start button to actually install your guest operating system on your new VM.
Generally speaking if I'm going to test out a Linux OS with VirtualBox I give it half of the system's memory and use the default hard drive size. There are other options that you can use to make the Linux VM perform better, but this is all you'll need to really play with Linux.
Avoiding Secure Boot on Windows 8 PCs
The other way to run Linux on a Windows 8 system is to try the CD/DVD or USB methods I described above. Yes, I know I said it was hard to try Linux on a Windows 8 PC with Secure Boot and it is. It's not impossible though.
That said, I am not going to recommend that you try to install Linux with Secure Boot active. It can be done, but it's no job for a new user.
Instead, what you'll need to do is once more reboot and try to turn Secure Boot off. All PCs, except for ARM-powered models such as Microsoft's Surface RT and other Windows RT models, will let you turn it off. Microsoft and the OEMs don't make it easy though.
Every motherboard manufacturer has a different way of doing this, and the method even varies from one version of a motherboard to another. If you're very lucky your PC will have come with a motherboard manual. But odds are you won't be that lucky. In that case, when you've rebooted your computer and pressed the right keys to enter the UEFI system setting mode, look for information about the motherboard. Then, if you can identify it, look for a copy of the manual or system settings on the Web.
If that doesn't help, go back to the UEFI system settings and start looking for a menu labeled "Security” or "Security Settings.” Once there look for "Secure boot configuration" and see how you go about disabling it. If it's not there, try under the "Boot" option.
I hate to say it, but it may not be hiding in either location. The OEMs have no rhyme or reason when it comes to their UEFI settings. In that case start looking for terms such as "Secure boot," "UEFI," "Authentication," or "Legacy Boot."
Once you've found it, and set the PC to boot from your optical drive or USB stick, then exit the UEFI setting and make sure to save your settings or you'll need to do it all over again. This done, you'll be able to boot and install Linux just as you would on an older PC.
Is it worth the trouble?
While Microsoft has certainly made installing Linux a lot more annoying than it used to be, I think it is definitely worth the effort. I've found Linux desktops to be far more secure and reliable than their Windows counterparts and I think you will too.