I just received my MBP the other day and I'm a long time Windows user. The MAC OS is really easy to learn if you're coming from a PC.
I tried VM & Parallels and wasn't really happy with either one.
I am now dual booting my Win 7 Ultimate 64 OS in bootcamp. It works just as if you are working on a Windows machine. I have several applications that just don't work as well with the MAC version...Quickbooks Pro, MS Outlook and Quicken to name a few.
I would strongly recommend any version Win 7 OS as long as it's 64 bit. You will also need a USB thumb drive ( 4GB should do )
Bootcamp is really easy to set up. Go to Finder>Applications>bootcamp and open it up. Check off the options to download the Apple drivers and the option to set up a partition and proceed. You will then choose the size of your partition and format it. Make sure your install disk is in the optical drive and you have your USB thumb drive inserted.
From there on it's basically just a routine Windows install.
However, when your done, you will need to go into the drivers folder on your thumb drive and manually execute the Apple Windows drivers (which were downloaded during the install )as windows needs the apple windows drivers for everything to work.
That's essentially it. You will now have a dual purpose machine that can run either OS! As a long-time PC user who has just learned this, I don't know why anyone wouldn't buy a MAC as as it is really a dual purpose machine...

You just can't really do this as easily on a windows machine unless you want to Hackintosh it but that is a PITA.
FYI: When your MAC is booting and you hear the sound, just hold down the option key to chose which OS you want to boot into.
If you go into system preferences>Settings>Startup Disk you can also set the default OS that you MAC boots up to.
Hope that give you some help!