If you have one single hard disk, I don't think it is possible to install all OS independently. For this you may need to have separate hard disks.
But with separate hard disks, sharing data between Windows and Linux become a problem because you have to disable a hard disk from BIOS everytime you wish to run a different OS. Alternatively, you may have to open the box, change wires and jumper settings for it to work and share data as well.
Frankly, all this sounds quite inconvenient to me. When I was about to start with Linux, even I thought that I will keep them on separate Hard disks. But as I grew somewhat in experience, I realised that keeping them on a single hard disk is more convenient.
Now I have installed PCQ Linux 2004 alongwith Win98SE on not 1 but 4 machines. I don't face any problems. On one of the machines (mine), besides Win98, I also have PCQ Linux 2004 (kernel 2.4), PCQ Linux 2004 (kernel 2.6), Knoppix 3.4 (kernel 2.4) and Knoppix 2.6 (kernel 2.6)

It sounds complicated, but it isn't too complicated. Of course, I got help from GNUrag on installation.