It's Now Even Easier Setting Up Windows Subsystem For Linux On Windows 10
As of Windows 10 Insiders Preview Build 20246, there is automatic distribution install support added to work with the wsl --install command.
The wsl --install command by itself will install Ubuntu but Debian, Kali, openSUSE, SLES, and others can all be easily installed as well when also adding the -d argument and the relevant distribution name for carrying out the automated install.
More details for those interested in this WSL installation improvement via the Microsoft Command Line Blog.
Separately, I'll be running some fresh Windows 10 October 2020 vs. Linux benchmarks including WSL in the coming days on Phoronix.