On Linux-compatible hardware, most if not all of the devices should work out of the box. Choosing a good, more recent, and user-oriented distribution also helps a lot. My own experience is that Linux is harder to set up the way you want to than Windows, however, once you set it up, you'll have few problems and a lot more flexibility.
My suggestion is that you go to a local Linux User's Group (see http://www.linux.org/groups/) or take part in some of the Linux newsgroups. One key reason why Windows is so simple for many people is that there are plenty of people to talk to if you have questions. I've known many Windows NT sysadmins who tried to learn to admin Windows 2000 on their own. They had a hard time, mostly because things are arranged and grouped very differently. Admins that could talk to people who had Windows 2000 experience had a *much* easier time.