I've been playing WoW in GNU/Linux and Windows since 2005.
First things first, nobody is going to be able to tell you the difficulty for setting it up because that's relative to how well you can set up software for your distribution and your knowledge of Linux in general.
Second thing, configurations change between distributions and even between your distribution running the same distro as mine. I fine tune all my systems to get the best performance but I've also been using Linux and UNIX for sixteen years. Hardware support also plays a role in it.
Your FPS will likely suffer. Years ago in vanilla and TBC, I actually had a performance increase on Linux with WoW but in recent years, I haven't noticed this performance gain anymore(Possibly due to me having better hardware
)
That's basically it. If you have more specific questions, feel free to ask them and I'll help you out as best as I can.
Another distro you can try besides Ubuntu(Can't stand Ubuntu) is Sabayon Linux. It's based off of Gentoo and has a really nice package manager and runs pretty snappy.
Though, I'm currently running fedora 16 I'm going to either be switching back to FreeBSD for a bit or switching from Fedora to either LFS or Gentoo.