As root, do:

# apt-get update
# apt-get dist-upgrade
# apt-get install --no-install-recommends xfce4 vnc4server xfce4-terminal xfonts-base gksu synaptic

Edit ~/.vnc/xstartup, comment out or delete what's there, and put:

xfce4-session
vncserver -kill $DISPLAY
exit

This way the VNC session is destroyed when you log out.

To run the vnc server:

$ vncserver

You can also use X-forwarding with SSH to launch GUI apps from the command line. On Windows, first install an X client such as Xming. Then set PuTTY to connect to the server with "X11 forwarding" enabled within the SSH options. For Linux clients, connect with the -X option. Either way, you'll be able to run GUI apps and have them appear on the local machine.

client$ ssh -X server
server$ xfce4-terminal &
(it appears!)

Install Ubuntu. I used 9.04. Then, as root, do:

# apt-get update
# apt-get dist-upgrade
# apt-get install --no-install-recommends xfce4 vnc4server xfce4-terminal xfce4-icon-theme gksu synaptic

Edit ~/.vnc/xstartup, comment out or delete what's there, and put:

xfce4-session
vncserver -kill $DISPLAY
exit

This way the VNC session is destroyed when you log out.

To run the vnc server:

$ vncserver