The latest generation of Macs use the same sort of processors as PCs running Windows, meaning that it is possible to install Windows on a new Mac, and run both operating systems. I did this a few weeks ago on my machine, and thought people might be interested in the results.
I'll try to keep the compu-speak to a minimum, to make things comprehensible to non-techies.
First off, there's the quesiton of why one would want to do this. Two answers come to mind: work and play. For work, there are a plethora of specialized business applications that only run on Windows. For people who develop webpages, there's a need to test things on browsers running under different OSes. For play, the answer is gaming; there are far more games available for the PC than for the Mac.
So, you've decided to go down this path. How to do it? Again, there are two answers: Dual-boot and virtualization. Dual-boot means that you run one operating system, and then when you want to use the other one, you shut down the computer and reboot into the other. Shut down again to load the first one. Virtualization means that you run both OSes at the same time, and there's some mechanism for switching between them that doesn't involve restarting the machine. This is preferable for a lot of things, but there are (at present) some things that don't work under virtualization.
Apple has provided a dual-boot mechanism called Boot Camp. It's a free download, and technically is beta software. There's a virtualization system that's written by a company called Parallels; right now, the software is a free beta version, and the final version will be $40.
So, which to chose? If virtualization works for you, that's probably the best solution, since it doesn't require rebooting constantly to switch back and forth. Some hardware doesn't (yet) work under virtualization; most notably, the 3-D accelerator graphics system doesn't work, making this less than useful for gaming. If you want a gaming system, you'll need dual boot (at least for now).
I chose the dual boot approach because of this. Installation is fairly straightforward. You'll need an XP install disk (Home or Pro, but it has to be Service Pack 2 or later), and a blank CD-R. You download the Boot Camp installer (linked above), and run it. It prompts you to insert the blank CD-R; this is for drivers which will let Windows talk to the various bits of hardware. Then, you choose how much disk space to give to Windows vs. reserve for the Mac. Finally, you restart the machine with an XP install CD and install XP. The instructions that Apple provide are very explicit and detailed; print them out before starting, and just follow the steps. It took about 2 hours, most of which was unattended. Alternatively, if you're thinking about buying a Mac, some of the online vendors like MacMall are selling systems with dual-boot preinstalled (for about $100-$150 above the price of the Mac-only system).
So, how well does it work, and how good of a Windows machine is it? It works very well. Windows boots up quickly (it takes about 1:30 to switch OSes, in either direction). Most things just work. Networking, both wired and wireless, is fine. The 3D graphics card works well (it's a more-or-less standard ATI Radeon X1600).
There are a few gotchas to be aware of. My hardware is a MacBook laptop, and the built-in trackpad only has one button. Windows is a pain in the arse to use with a one-button system, so you'll need a USB mouse. Similarly, there are some keys on the keyboard that Windows expects and the laptop keyboard doesn't have. The 'Command' key on the Mac morphs into the 'Windows' key which opens up the Start menu. There is, however, no 'Delete' key on the MacBook, which is a problem if you ever need to Ctrl-Alt-Del. There are a couple of workarounds. One is to just get a USB keyboard. The other is to remap the keyboard.
Also, some of the features of the Mac hardware don't work. No back-lit keyboard. No built-in camera. I suspect that both of these will eventually get fixed.
Software: I tried a few productivity apps, and had absolutely no trouble at all.
Utilities: I installed McAffee's virus checker (welcome to Windows...) and had only one minor problem. Sometimes, when shutting down the machine, the virus checker would go into some sort of loop and continually pop up an error dialog, with no way to escape besides power-cycling the machine (no big deal, since it only happens when I'm shutting it off anyway). A colleague installed the same virus checker on a new Dell laptop using the same CPU as my Mac, and it completely trashed the system (he said it took 15 minutes to open the Start menu). Yes, he uninstalled it...
Gaming: My test suite was Civilization IV, Rome: Total War, and Star Wars: Knights of the Old Republic. No trouble running any of these. I could bump the graphics options pretty much all the way up to max, and still have a smoothly-performing system. Playing Rome, on the wide-screen laptop, with some of the bigger battles, was amazing. I'm sure it would have been even better on a 20" iMac...
Now, the currently-available Macs use a mid-range graphics card. You're not going to be able to match the performance of a tricked-out desktop PC from Alienware or the like (or a state-of-the-art homebuilt system). When the Intel-based replacements for the G5 Powermac towers arrive (by summer, if I had to guess), that may not be true. So, don't expect to get the latest graphics hog game and run it silk-smooth with every detail option maxed out. Not going to happen. User reports on new games like Oblivion are that it will run fine on the Macs if you back off on the detail levels a bit.
I'll hang around this diary for a while, and would be happy to answer any questions to the best of my ability.