I’m not sure why anyone would want to do that, in the age of live-cd distros and dual-booting options, but some people running high end boxes may enjoy the best of both worlds, running a full Ubuntu distro ontop of windows. This unique distro is called andLinux.
From the andLinux site:
andLinux is a complete Ubuntu Linux system running seamlessly in Windows 2000 based systems (2000, XP, 2003, Vista [32-bit only]). This project was started for Dynamism for the GP2X community, but its userbase far exceeds its original design. andLinux is free and will remain so, but donations are greatly needed.
andLinux uses CoLinux as its core which is confusing for many people. CoLinux is a port of the Linux kernel to Windows. Although this technology is like VMware or Virtual PC, CoLinux differs itself by being more of a merger of Windows and the Linux kernel and not an emulated PC, making it more efficient. Xming is used as X server and PulseAudio as sound server.
andLinux is not just for development and runs almost all Linux applications without modification.
Also, an excellent article on the subject from Lifehacker.