Most pieces of hardware work just fine with Linux. However, very recent hardware (a few months old) are sometimes not yet supported. Like software vendors, many hardware vendors still consider the Linux market as a very small one, and don't bother to provide Linux drivers for their hardware. The Linux developers work on that, and do a terrific work to let every piece of hardware work like a charm, but this takes a little time.
The best and most straightforward way to see whether your hardware is well supported is to run Linux from a Live CD (see the "Try Linux without touching Windows" section).