The Debian derivatives such as Ubuntu all (or almost all) do not setup a root password by default (on Linux no password=no login). If you use an RPM or source based distro, I believe those still setup the root password (I know Fedora does).
As for not asking for the password on sudo, that is configurable. By default on Ubuntu, if you have sudoed in the last 5 minutes it will not ask you again, but that can easily be changed. You can also (though its not recommenced) set sudo to never ask for a password.
Finally, as far as what I'd recommend for a beginning user: If you have at least say 40Gb of spare hard drive space on windows (more is better) or on a spare drive, I would recommend giving
Wubi a try. It makes installing/removing Ubuntu as easy as any windows program an runs
almost as well as a native installation. This also allows you to keep running windows for those times when you want it (it gives you the choice at boot between Ubuntu and Windows)
Edit: IF for some reason you want to go straight to a native installation STOP! Take some time, make a list of all those windows applications you cannot live without. There may be several that cannot run under WINE or don't run well. Post the list here and I'll help you either find open source alternates, or determine if they can run under WINE easily.