If you still can't wrap your head around the fact that Microsoft supports using Linux inside of Windows, then prepare to have your mind blown. Today, the company has debuted Ubuntu Linux in the Windows Store, available to anyone running a current Insider Preview build.
Writing for the official Windows blog, Microsoft's Rich Turner says that anyone running at least the 16215 build of Windows 10 will be able to take advantage of the software, which is sure to be one of the most complex pieces of software on the store.
To be clear, this solution isn't for those wanting to run an entire Linux desktop from within Windows; we're limited to the command line at the current time, which can still be hugely useful to developers or those who simply prefer using a BASH command line over PowerShell (or Command Prompt). There are ways of getting GUI applications to run, but it will require a bit of effort. Those looking for a proper Linux experience in Windows will want to make use of virtualization, a la VMware or VirtualBox.
Ubuntu isn't going to be the only Linux flavor available through the Windows Store; soon, both Fedora and SUSE will make their debut. As with any other Store "app", you'll be able to run any and all of the distros available side-by-side, independently of each another. If you're already running Ubuntu in Windows, you'll want to make the move to the Store version if you want to use an officially supported version, and the one that will be easiest to keep up-to-date. Installing Ubuntu through the Store will not affect your previously configured version.
If you want to take advantage of Ubuntu in Windows right now, you'll need to be willing to join the Windows Insider Preview program and upgrade to the latest available version. When the Fall Creators Update gets released in a few months, Ubuntu (and likely the other Linux flavors) will become available to all.