In a discussion of what free means in relation to software, you'll often see the expressions "free as in speech" or "free as in beer." Free, in this case, isn't a question of cost, although you can get a free copy (as in free beer) of Linux and install it on your system without breaking any laws. As Robert A. Heinlein would have said, "There ain't no such thing as a free lunch." A free download will still cost you connection time on the Internet, disk space, time to burn the CDs, and so on.
Walk into a computer software store and you'll see copies of Mandrake, SuSE, and Red Hat on the shelves, so this free software can also cost you money. On the other hand, those boxed sets come with documentation, support, and CDs, the latter saving you time and energy downloading and burning discs. Furthermore, there are boxed sets of varying prices, even within a distribution. For instance, you can buy a Red Hat personal or professional edition. The differences there may be additional software, documentation, or support.
Linux is distributed under the GNU General Public License (GPL), which, in essence, says that anyone may copy, distribute, and even sell the program, as long as changes to the source are reintroduced to the community and the terms of the license remain unaltered. Free means that you are free to take Linux, modify it, and create your own version. Free means that you are not at the mercy of a single vendor who forces you into a kind of corporate servitude by making sure that it is extremely costly to convert to another environment. If you are unhappy with your Linux vendor or the support you are getting, you can move to the next vendor without forfeiting your investment in Linux.
In other words, "free as in speech" or freedom.