wubi is fairly good, especially for starters with simple tasks or as a way of trialing ubuntu like the live CD ,but it doesn't provide the full experience.
there's the option of installing ubuntu alongside windows in the ubuntu installer, which does the job automatically. it creates an extended partition on which it puts root and swap, but no home partition. the upside is that it's automatic, so you don't need to partition manually in case you're scared of it. another downside is that it only uses the windows C drive, so you'll have to edit fstab if you want ubuntu to mount the windows D drive automatically at startup.
another option is to use the windows disk management utilies, i'm not quite sure what they're called, leave room for ubuntu, and go on from there. that way you can create a root and home partition, which can be helpful in case you ever need to reinstall ubuntu and keep you current data. another upside is that you can specify how much of the hard drive you'll allocate to ubuntu.
here's a simple tutorial on how to do that