Rule of Thumb #1:
All things being equal (hardware, processor, ram, etc.), applications will always run faster on Linux. PHP/Apache is no exception to this rule. From memory back when PHP4 was first released, PHP running as an Apache module and using the Zend Optimizer is up to 400% faster than IIS's ASP ISAPI filter.
Regarding performance issue on the Win32 platform, PHP as an ISAPI filter on IIS is still kinda buggy and caused memory errors at random intervals. If you must run on IIS, do it as CGI. Running PHP/Apache on Win32 is very stable and fast, but it's by no means as stable or fast as on Nix. Both Apache and PHP were originally designed for use in a Nix environment and some of the *Nix features, and in the case of Apache, stablity are not portable due to the restrictions and nature of Win32.
HTH.
geoff
