Damn Vulnerable Linux is the most complete training environment for IT
security with over 500.000 downloads. It includes all tools you need
ready to go.
Additionally tons of training material and exercises are included.
Damn Vulnerable Linux works fine under Windows, Linux and Mac OSX
using any virtual machine such as VMware, Qemu or KVM.
You can let it run installed natively on a standard PC or even boot it
from USB.