You can also setup a beowulf style cluster which is easy and worth it in linux when you are using some decently fast cpu's on top of a good network, but it also depends on the application you want to do this for. If you plan on doing number crunching or data manipulation then linux would be for you. You can also do it in windows with.... bah, I forgot the name, but they have a clustering application that comes with their high dolla operating system.
Its only worth if what you are trying to do supports multiprocessing. If you are wanting to have bitchin' game play, look somewhere else for the speed.