I have sites hosted on Windows, Linux, and some weird *nix varient I forget the name of.
From my point of view, Linux is the best one. There are one or two PHP commands that don't work on Windows (usleep() being a prime example, and one I've encountered). It also tends to be the most stable in my experience, though that is more due to the fact the people admining the Windows box I have a site on are muppets.
For 99% of cases there'll be no substantial difference.