I use Linux as a primary/only OS on my desktops and I have had no trouble playing music, videos, or games. For music, you can install windows codecs for .wma and the like as well as stuff for .mp3s. Program-wise, Rhythmbox, XMMS, Exaile and many others function very well and can support iPods and other such devices. For vids, VLC, MPlayer, and Kaffine work very well. There are no where near as many games for Linux as there are for windows, but that is to be expected. There are Linux native versions of commercial games like Unreal Tournament 2004 and Quake 4, but there also is a good number of free games out there too like Nexuiz and Open Arena. You can play windows games using either WINE (which is free) or Cedega (which costs money but has much more game support).
Overall though, i would say only change if you want a change since there are going to be differences, but the daily user experience will not be much different. The big differences though between linux and windows are similar to the ones between macs and windows comps (the usual security benefits and stability and such). It also is very customizable; there are distributions that are designed run on a 486dx w/ 16mb of RAM up to modern 64-bit systems with multiple gigs of RAM. I personally use Ubuntu and enjoy it quite a bit since it is easy to get going on most hardware, especially now that you can install video drivers by checking a box. The nice thing is a lot of distros use a liveCD installer, meaning you boot up the whole operating system to the desktop without installing it to your hard drive, allowing you to test out hardware compatibility or simply just use it (but they run much slower off of a cd obviously). A word of warning though, nvidia has much better linux driver support than ati at this time, so having an nvidia card would be an advantage; for example, I have a comp with an x1300pro in it and I have full 3D support, but I can tell it isn't using the cards full potential (though still works quite well). The upside is though that as a general rule most linux distros use less RAM (or at least use it more effectively) than WinXP, so if you have older hardware and want a modern OS (believe me, DON'T USE WINDOWS 98 ANYMORE), it is an excellent option. I run the lighter weight version of Ubuntu called Xubuntu (because it uses the xfce4 window manager) on several comps including a 633mhz celeron system with 192mb of RAM and it runs just fine for using firefox, IM, open office, music, and even some games like Quake III Arena. I also have a 200mhz P1 comp w/ 72mb of RAM running DSL 3.3 and it works great for using opera, IM, abiword, and old games like Doom. Puppy Linux is very good for older hardware too; it runs stupidly fast on anything faster than 500mhz with 128mb of RAM and still has a lot of features; I use it on a comp w/ a 450mhz K6-III in it.
Anyway, check out forums of linux distros you are interested in trying out and download some liveCDs to try on for size. I'm glad I did; I only use windows for a few games and Linux along with my MBP for everything else (including games). Good luck!