The options:

1) Dual boot
Pros - you get full performance and maximum compatibility out of each OS
Cons - if you're working in one OS, you need to reboot to do anything in
the other OS. Transferring data from an application in one OS to an
application in the other OS is awkward.

2) Virtualbox (or other virtualisation software)
Pros - you can run applications from both OSs side by side and can move
data between them with ease. Moving the virtual machine to a new
physical computer is relatively easy. You can save snapshots of the
virtual machine, which makes rolling back to a known good state a lot
easier if you have problems (but that can take an awful lot of disc space)
Cons - you will suffer a performance hit in *both* OSs when running the
virtual machine. There can be compatibility issues with the virtual OS
and the virtual hardware. Physical hardware (particularly USB devices)
may only be usable in one OS or the other, but not both at the same time.

3) Wine
Pros - allows the use of a large amount of Windows software natively
within Linux
Cons - not all Windows software works with Wine and much of that which
does requires tweaking of the setup. Forget any software that requires
any kind of driver.

Personally, I use Virtualbox and Wine, as appropriate.

At least on my system, the Virtual Box starts up and shuts down a lot faster
than dual booting, but re-connecting the drives and USB devices every time is a
PITA.

If I were to go the dual boot direction, what is the cleanest way to install XP
and Ubuntu. Step by step please.

For gaming I recommend dual boot, definitely. I suggest you have a Windows
partition not exageratedly large. I also suggest having Virtualbox also,
installed under Ubuntu. In Virtualbox you can install and erase whatever you
want, including nostalgia OSes like OS/2 Warp and Windows 95. I played with
Windows 95 a bit.
It is good to have both options.

I've never set up a dual boot, so can't really be much help on this.
However, I do know that you should install XP first, then Ubuntu,
otherwise the Windows boot loader will overwrite Grub and you won't get
the option to run Ubuntu at boot up.

There are a lot of how-to guides out there on the net.

This is a video on how to set it up that will guide you through Dean


http://librenix.com/?inode=7876

I went to site and couldn't find the video guide on dual booting.
What showed was for open source backup. Am I missing something
on that page, more than likely I am missing something. Seems to happen
a lot at my age.

one I used for a client has disappeared.

I like the Ubuntu site though.

https://help.ubuntu.com/community/WindowsDualBoot

If you are doing heavy processing (games, video editing, etc.) then go for
dual boot. If it is lighter tasks then Virtualbox is fine. If an application
does not work in Linux then I would rather do without. ;)

You can do as I do and have a dual boot and run Virtual Box in Ubuntu.

That way you can use VB for most things and boot up the Windows if needed.