If you want to try out a Linux distribution then you could just download and boot from the appropriate LiveCD - but that's not always convenient. You'll need to locate the image first, for instance, then you'll have to find a spare disc to hold it. Once that's burned then your system should boot, but slowly.
UNetbootin makes the whole process very much quicker, though, at least in theory. It has built-in support for downloading some of the most popular Linux distributions, for instance: Ubuntu, Debian, Linux Mint, openSUSE, Arch Linux, Damn Small Linux, SliTaz, Puppy Linux, gNewSense, FreeBSD, NetBSD, Fedora, PCLinuxOS, Sabayon Linux, Gentoo, MEPIS, Zenwalk, Slax, Dreamlinux, Elive, CentOS, Mandriva, FaunOS, Frugalware Linux, and xPUD.
And if you need more, the program also supports downloading many Linux-based system tools, including partition repair utilities, disaster recovery discs and antivirus tools.
All you have to do is choose the image you need, and UNetbootin handle everything else: downloading the package, unpacking it, copying the files to the USB drive that you specify, and adding a boot loader. You can leave the program to work, and once it's finished you should be able to launch your chosen Linux variant just by booting from that USB key.
We say "should", because it's not always quite as simple as that. In our tests we found that UNetbootin didn't always download the full distribution, for reasons we never quite figured out. And even if it does, not every PC will boot from UNetbootin-prepared drives. One of our test systems did, another failed every single time, so it depends very much on your hardware.