Like already mentioned here, back up first. I use a tool called Foxclone for hard drive image backups. Many would recommend Clonezilla, but I can vouch for Foxclone as I know it works from personal experience and the interface is really intuitive.
If you installed your Linux distro to dual boot alongside an existing Windows machine, you might need to move the Linux partitions after deleting Windows in order to resize the Linux partitions. This is something that can be done later once you know everything is working okay.
I miss all the crashes, the blue screen of death, the automatic updates that reconfigure all the personal changes you made to try make Windows work better, and all the hunting around for cracked propietary software.