Experiment to your heart's contentI'm sure this has happened to everybody. You start developing a feature. You change a few minor things here and there (e.g. add a new property or method to an entity). Then you make a few more changes; and a few more; and a few more. All of a sudden you realize that your approach just isn't going to work. Hold on though, some of the changes you made earlier are still valid and you want to keep them. So you start trying to revert just the later changes, only to give up and revert everything back to the latest copy that was in source control. Begrudgingly you reproduce your earlier work as you curse your source control system.
If you're using a DVCS, all of that can be avoided. Since you have a source control repository right on your own machine, tracking your code. You can easily reset your code to one of the commit points along your journey to the dead end you've found yourself in. You can even save your progress in a tag or a branch, in case you want to refer to some of the code in the future.
Branch and merge with easeA common scenario in software development is to do a product release, create a release branch, and continue development on the main line trunk. If a bug is reported in the release, you would check out the release branch, fix the bug and check in your changes. After a few of these changes you can do another release and merge your branch fixes into your main line trunk. At least that's how it's supposed to work. What happens more often is on the last step, when you try to do a merge, you find so many conflicts that it then takes the entire team a day or more to resolve them.
Since a DVCS is built around branching and merging, these operations are not only easy to do, but also painless. Most of the time you won't even need to manually merge anything as the systems are very good at figuring out what was intended. So go ahead, make as many branches as you want, merge them whenever you want, and stop trying to mangle your process with the limitations of your VCS.
Safety and redundancyOne of the great things about having multiple copies of the repository floating around among the development team and the central location is redundancy. In a traditional central version control system environment, if your your repository became corrupted, or the server hard drive failed, you would have to go find a backup and restore it, possibly losing work and holding up development.
In a distributed environment, everyone has a copy of the repository. So if the same scenario were to happen, the fix can be as simple as one of the developers pushing in the latest copy to a new shared location. Alternatively one developer's repositories can be chosen to be a central repository until the server can be rebuilt. That is not to say you shouldn't have backups in a distributed environment, but it is far less catastrophic not to have them.
The bottom line is that constantly working with the benefits of source control far outweigh the initial pain of converting to a DVCS. If you're developing in Windows, I highly recommend Mercurial, if Linux or Mac is your preferred environment, then Git is definitely the way to go. So go on and give it a try. I promise you won't go back to your old VCS.