Yeah, but generally, so long as you install Windows first, and any flavours of Linux afterwards, there shouldn't be any real problems, even if they're both just on different partitions on the same drive. Linux will detect the Windows install and add it to GRUB's boot list, so unless GRUB breaks (unlikely), you can always get to Windows even if Linux won't boot.
If you have two hard drives, installing them both to seperate disks is probably not a bad idea though, I agree.