This is a great question.
First, you have probably learned that you can use Ubuntu's APPLICATIONS > INTERNET> TERMINAL SERVER CLIENT program to remote desktop to Windows machines. Going the other way is a bit more challenging.
You need to have two things in place:
1. You must enable remote desktop connections in Ubuntu. You do this by navigating SYSTEM> PREFERENCES> REMOTE DESKTOP.
Then allow others to view/control as necessary. There is also an option to place a password for security.
2. You must have a VNC tool on the Windows system. My suggestion is the free and light TightVNC. You can download it here: http://www.tightvnc.com/download.php
Make sure you turn off the Server function, then navigate START> ALL PROGRAMS> TIGHTVNC> TIGHTVNC VIEWER. Enter the IP or name of the Ubuntu machine and all should work perfectly.
Hope this helps!