I looked at FreeNX, NeatX, OpenNX, and X2Go.
NeatX does not seem to be continued.
FreeNX with OpenNX works, but I had problems with the sound.
To install FreeNX on Ubuntu Oneiric, follow the instructions at Ubuntu Forums. This avoids the problem with esound and libesd0 packages.
Finally, I have to say that X2Go works best for me. Sound is played, and access from Windows and Linux works fine to my Linux Remote Desktop.
To install the X2Go server on Ubuntu Oneiric:
add universe to /etc/apt/sources.list
apt-get install x2goserver
You get the client from http://code.x2go.org/releases/binary-win32/x2goclient/
One thing I had problems with: there was a blank or black screen, after logging in.
To debug this: I searched the log files, but could not find any clues. Then I remembered this: use the terminal as login shell, which works. There you can start your desktop manager, in my case /usr/bin/startlxde.
The error that came up was: missing libNX_Xext.so.6
I then found on the mailing list a discussion: http://firstname.lastname@example.org/msg03254.html
So I added the line
at the top of /usr/bin/startlxde, and everything works now.
I also installed libjpeg-turbo, which should make the remote desktop even faster:
wget 'http://sourceforge.net/projects/libjpeg-turbo/files/1.2.0/libjpeg-turbo_1.2.0_i386.deb/download' -O libjpeg-turbo_1.2.0_i386.deb dpkg -i ... rm /usr/lib/i386-linux-gnu/libjpeg.so.62 ln -s /opt/libjpeg-turbo/lib/libjpeg.so.62.0.0 /usr/lib/i386-linux-gnu/libjpeg.so.62
One useful key combination is ctrl alt t, which allows you to terminate or to suspend the current session.
It seems ctrl alt k does not work with X2Go, which would allow the task switching with Alt Tab to be inside the Linux workstation.
The shortcuts available from NoMachine are listed here: http://www.nomachine.com/ar/view.php?ar_id=AR03C00172
By the way, I got X2Go work fine on virtual machines running on VMWare ESXi, and also on OpenVZ.