I use exchangeable caddys. I currently have 4 HDs, one per caddy. On some I have a single installation, on others ( >20GB) I install 2 Distros. So I can have several versions of Mandriva ( 2005 & 2006 at present ), Fedora 4, Suse 10 plus anything else I choose. I am trying to settle on 1 distro (looks like being Mandriva) and will than have several installations. One proper one, one for messing about with, one for development etc. I find this works well. Obviously I could also have one HD for Windows & a version of Linux. In practice I use a different PC for XP. But that is only because things have worked out that way.
I really like the caddy system as I can protect working installations whilst messing around with something new, e.g. Ubuntu, Red Hat, Knoppix....
Hope this is of interest.