I have noticed that many of the programs out there only run on unix or linux. So i got confused on which one i should download? Could someone help me out?
Commercial Unix generally costs money (BSDi for example). Your best bet is to go with a Linux Distro since their generall all free.
Most newbies want to start on either Redhat, Mandrake or FreeBSD.
I myself prefer FreeBSD, Slackware, Debian.
I actually have a commercial copy of BSDi 3.5 and I tell you that you will have NO need for a commercial distribution.
FreeBSD will run linux binaries, and you can get packages for other BSD's that'll allow them to do the same. Linux might have the reciprocal, not sure.