For the CEH specifically I'm not quite certain where you would want to go.  I have a pdf of the review guide, but I haven't taken the exam yet myself so I'm not going to say one thing or another about what to study specifically for it.  There are quite a few books reviewed on this site with pretty expert opinions on them from some of our members. 

My suggestion, would go along the same lines as most of the posts here on the subject.  Get familiar with protocols and perhaps some basic programming.  Check out Insecure.org, and thier top 100 tools list.  Nessus, Metasploit, and Nmap are three of my fav's but they are just three of a huge number of very useful and powerful tools.  Wireshark is another of my favorite tools, but have a general understanding of a wide breadth of tools is probably best.  BackTrack is a great Linux distro for getting a taste of different tools, and having them all pre-installed and in one place.  Right now, I always keep a thumbdrive with me that has BT3 beta on it.  It's bootable, and allows me to have scanning, probing, and exploiting abilities with me wherever I go.  Or, to just reset passwords for built in accounts and whatnot at work.  BackTrack has somewhere over 300 security tools built into it by default, which is just sweet. 

Firstly I recommend Certified Ethical Hacker Exam Prep by Michael Gregg. You'll even get some change from your $50.

Secondly, it has been my personal experience that the Backtrack betas have been very buggy and unstable in the past. I have not tried the Backtrack 3 beta though. If you're still learning Linux I suggest sticking with a stable release.

I Agree With Negrita, The Beta Versions of BT Werent Stable Enough For Me Either. If Your Going To Be Working With VMWare, I Suggest The Sites Back Track 2 Distro. It Runs Smooth. You Could Get It Below.
http://www.ethicalhacker.net/content/view/160/8/

Cygwin is a great POSIX environment for windows, it will be useful later on for runing some penetration testing tools such as john the ripper, and could be useful as a scripting environment if you want to automate tasks and other stuffs. one thing that motivated you to learn about this stuff is that you want to protect your environment, you can simply start by reviewing the patch management procedures, staging of patches, and antivirus updateds, group and system policies, runing vulnerability tool against a test machine with a similar setup of your production machine and interpreting the logs, try to learn how to defend against, and what is the best effective procedure to utilize against well know script kiddies/automated attacks. windows security is massive, there are tools from microsoft that can help you audit the state of patches on your machine,  secunia psi is another tool you can use, research file integrity checkers to protect yourself and systems from rootkits installed by malware, protect against malware by having your antivirus up to date almost all the time. hope that helps