Virtual Machines offer a way to set up a new operating system without making any changes to your computer other than taking up a bit of disk space. People just trying GNU/Linux may prefer this option as a way to get acquainted.
Dual Boot systems are set up to have two operating systems, but only one can be run at a time. It makes significant changes to the system and can, in unusual circumstances, result in having to re-install one or both operating systems again, resulting in the loss of whatever data (documents, photos, videos or music) was stored on the hard drive. People who are already familiar with GNU/Linux or know for sure they want it permanently installed may prefer this option instead.
Bare-metal (aka native)
Your computer will only run Linux.