This is something that is terribly useful, and there are lots of how-to articles running around. Unfortunately, I've not found one that was quite complete, especially for someone who is only just getting familiar with Linux (which is precisely when you most need a GUI!).
So this is a step-by-step instruction list on getting a remote X Windows session set up on enterprise linux 4, 5, and 6 (RHEL and CENTOS) that can be accessed with VNC viewer software (do a quick search on VNC if you're not familiar with it).
In some set-ups, people create a VNCSERVER process that runs all the time. This does allow for persistent sessions (sessions that survive a disconnect), but it's not really what most of us need most of the time. What we're doing here is using xinetd, which will spin up Xvnc on an as-needed basis. Much cooler.
Please note: vnc is not a secure protocol. What this means is that any traffic that VNC sends over the wire is *not* encrypted. Do make sure that your use of this doesn't put you at risk for having sensitive data (passwords, for instance) compromised.