I am a Windows user planning to convert to Ubuntu.
No problem. However, I recommend to use Kubuntu instead of "standard" Ubuntu, because it has "more traditional" interface similar to Windows. Or for slower machines, use Lubuntu.
I have several external harddrives with documents (doc, xls etc),
pictures, music and movies. Can I still use those external harddrives
on Ubuntu without doing anything, or do I have to do anything with the
file system?
Yes, I am using plenty of removable flash disks, HDDs etc. on Windows and linux computers and never did anything special to make them work on both systems.
I have some software I so far don't find for Ubuntu. If I use Wine on
Ubuntu, will any windowsprogram then run smooth?
No, there is not 100% guarantee that all SW will work using Wine. Check Wine Application Database to make sure about particular apps.
If I decide to dual boot my computer with XP and Ubuntu, can I access
my external harddrives with both system
No problem here :-) The only problem could be if you were using some disk encryption which is using Windows only program.