Dyne is pretty good; it's a boot-disk, so you just put it in to your computer (provided it's new enough to try and boot from the cd drive), and should boot in to linux directly; ther're a bunch of audio applications on the CD. So if you know how to burn iso's to cd, you might want to check it out:
http://www.dynebolic.org/There are a few different types; dyne:bolic and pure:dyne are for multimedia-related uses.
(dynebolic contains audacity I think; at least according to the review
http://www.linux.com/article.pl?sid=07/03/29/1738243 it does )