I set up my first Linux KVM (kernel-based virtual machine) this week. It was a lot easier than I was expecting (using Ubuntu 8.04).
Using KVM for virtualization is nice because it uses a lot fewer system resources (RAM in particular) than hosted hypervisors such as VirtualBox or VMWare. Plus installation is quicker and easier. And performance is probably superior.
The official Ubuntu documentation on installing KVM was very useful. I followed it almost exactly. There is also a decent HowtoForge KVM tutorial. One tip is that you don't need to specify the "qemu:///system" in the virsh commands (e.g., "virsh list" or "virsh start ubuntu" work just fine on my system).
If you are running Linux, I highly recommend checking it out! It's very cool.