To a beginner, I usually suggest SUSE; even Mandrake or Fedora users seem to find that an acceptable suggestion.
Linux won't generally run Windows software, although there are options (e.g., Wine) to try and tweak it so it will run at least
some Windows software packages.
Most Linux distributions come with tons of software out of the box - media players, office suites, CD recording software, etc.
One type of media won't play on a standard Linux distro: commercial DVDs, since their contents is almost always encrypted; even so, there are packages available to add support for these types of disks after all (but don't tell the MPAA...
).
One limitation of Fedora is that it doesn't come with support for NTFS file systems and MP3 audio files; activating this support isn't awfully hard to do, but you probably won't want to try it until you get at least a little familiar with the system. So, if NTFS and/or MP3 support is important to you, Fedora may not be your best choice as a first Linux distro; otherwise, adding the support will be an interesting and satisfying experience.