Correct information given so far:
1. Ubuntu is Linux
2. Linux will likely not run the games you want to play (including Warhammer)
Incorrect information given so far:
1. Linux has a difficult user interface. This is generally not the case. Mac OS X is based on Linux. The Linux interface is very similar to Windows, accept there is more stuff you can do at the command line. It's DIFFERENT - that's for sure. And therefore may be more difficult to use - since you'll have things to learn. But it's not difficult inherently - if you've used neither interface before, the difference in difficulty is unlikely to be measurable.
2. Choose Vista over XP. Vista is fine. If the computer you buy is a good, reasonably new computer, Vista has a lot of good stuff going on. Most of the complaints against Vista, in my opinion, are either old and no longer valid, or deal with things most users could give a flying fig about. If you are familiar with Vista, and your computer can handle it - I recommend it. If you are not familiar with Vista, and are afraid of Linux because of learning a new interface - then consider sticking with what you know (I'm assuming you know Windows XP). If you are not scared of learning something new, then you shouldn't be afraid of either Linux or Vista.
Bottom Line: you said you want the computer in order to play games. If it can run it, get Vista. If it cannot, get Windows XP. Linux is still not a well supported platform for playing games, and Warhammer is not supported on Linux.
p.s. - Windows emulation software on Linux is really cool, but is rarely very good for handling games that require everything your system can give, so I wouldn't trust it to be able to run the games you want.