Whilst browsing I found this article of 10 tips when making the switch to Ubuntu Linux. One of the tips is Remote desktop to a Windows desktop/server.
There is a program called rdesktop that allows you to connect to a windows remote desktop sesson on an IP address (over RDP):
The remote desktop I tried this on was using a VPN tunnel using this command:
The article also linked to the Wikipedia rDesktop article which linked to information for other RDP clients.
The only downside I found so far is that the screen resolution was restricted to 800*600 with 16 colours. Not a big problem for occasional use, but I may investigate some of the other solutions.
Does anyone else know of a better alternative?