Don't use Xfce, use KDE!
Update 2021: I wrote this a long time ago. All desktop envs are different.
Why is Xfce junk?
The style is very half windows, half mac, half-a-job. There is also no built in support for dual monitors so you have to use xrandr everytime you boot which is very annoying. Sure it is lightweight, but it is not good enough.
Why is KDE the best?
Well for one, it was the first ever GNU/Linux Desktop environment, announced in 1996. So they have had time to refine the experience and it is very smooth and customisable. It is also now the most popular desktop environment and rightly so.
What about the rest?
Well Gnome is alright but you will pull your hair out after a while. Unity for ubuntu is really good and I would advise sticking with it if you are on ubuntu. I have not tested Cinnamon but apparently it is very windowsy, so you may want to stay clear.
How to Change Desktop Environment from Xfce to KDE
Take note that in this case I am using Debian 8 as the operating system, with the apt-get package manager you can probably use the same commands but with your package manager of choice eg. aptitude, yum, emerge
- First install KDE, otherwise if you remove XFCE first then your network connection manager may not work.
sudo apt-get purge xfce4
- Install KDE
sudo apt-get install ~t^desktop$ ~t^kde-desktop$
- Reconfigure the Display manager and select KDE, this probably appened in the previous step
sudo dpkg-reconfigure kde
- Configure the default X-session to start. Select KDE.
update-alternatives --config x-session-manager
- Autoremove Xfce
sudo apt-get autoremove
Enjoy the best Desktop environment there is. Welcome to the calm world where almost everything is intuitive...