In current web hosting market Linux and Windows are the two most common and readily available operating systems, and there are many good reasons for using both. In terms of performance there’s not a huge difference between the two servers. Linux reportedly performs faster because Windows (as usual) attempts to offer an ‘all in one’ package instead of the extendable Linux implementation.
I am not biased towards any one, it that would have been the case than there is no point in reading this article. I would just try to list and compare all usable features which should help you to take final decision.
Second to the operating system, the most important influence on the features that will be available to you will be the Web Server system in use. On Linux systems, the Web Server offered is almost always the Apache server. On Windows it’s the Internet Information Server (now “Service”), IIS. Apache is also available for Windows systems, but is not very frequently used by hosting companies using the Windows platform. From the stats below( source netcraft.com) Linux seems to be the most prominent form of hosting on the Internet.

Below are some key features of hosting and their availability on Linux and windows servers
Access method:
Linux: FTP, Telnet, SSH
Windows: Mostly FTP
The first difference that most people notice with Web hosting operating systems is how you access the server. Both Windows and Linux offer FTP access to your files, but only Linux will generally offer telnet or SSH access. (It’s possible to set up telnet access on Windows, but very few hosting administrators offer it.) FTP is a way of transferring your files from your hard drive to your Web server. Telnet and SSH are a way to open a window directly on the Web server and manipulate files right there, usually using Unix command line commands.
HTML , JavaScript and Frontpage Extensions
Linux: Supported
Windows: Supported
FrontPage extensions are often cited as the reason to use a Windows server. But there are Linux servers that offer this service as well.
CGI/Perl:
Linux: Supported
Windows: Limited
CGI and Perl access is mostly found on Linux, although some windows servers also support them. The “Common Gateway Interface” (CGI) provides a means to connect or link from a web page to a program written in a scripting language that runs on the server. Some people refer to a “CGI Script” when what they actually mean is a Shell Script accessed via the CGI. Shell scripts are files containing a series of commands to be executed by the Unix Shell. They are therefore a feature of a Unix or Linux system. Other types of scripts accessed via the CGI include PERL scripts. PERL is readily available for either Unix/Linux or Windows. As a very powerful and popular scripting language, it is available on most hosting service systems. It is something that you will want to check
Server side scripts:
Linux: PHP,Coldfusion
Windows: ASP,Colfusion
There are many other type of Server Side scripting and/or interfaces, including PHP, ASP and ASP.net. PHP, as an easy to learn, but very powerful scripting language has gained a great deal of popularity. It is readily available for both Unix/Linux and Windows systems, but is still more commonly deployed on Linux. ASP and the newer ASP.net are native to Windows. They provide, among other things, access to Visual Basic and the VB Scripting language. It is very rare to see it offered by a hosting company running Linux servers. ColdFusion can be found on both.
Database:
Linux: mySQL,
Windows: Access,mySQL,
If you’re going to run a dynamically driven Web site, then you’ll want a database. The two most popular are mySQL and Access. mySQL runs on both Linux and Windows, but is more often found on Linux servers. Access, as a Microsoft product, is only available for Windows.
Cost:
Linux: Since it’s an open source OS, there is no licensing charge for running Linux operating systems. It costs less for the host to provide the service.
Windows: Just as you must purchase Windows for your own computer , servers must pay Microsoft for additional licensing fees for using their operating system. That’s why hosts must usually charge more for Windows hosting.
Security:
Security is very important to your Web host. Many people will argue that Windows servers have more vulnerabilities than Linux servers. But the reality is that they both have security problems. Security is more important at the hosting services administration level than it is at the operating system level. If you have good administrators, your server will be more secure - regardless of OS.
Final Vedict:
The differences between the operating systems is much less than you might think. I would recommend, if you don’t have any specific requirement, It is better to pick a Web host based on its features and services rather than on what operating system it is running on. Developers are constantly improving both Linux and Windows so they should be fairly close in terms of features, security, and reliability for a long time. It’s the people implementing them that you should be basing your decision on.
Find more details about Windows and Linux servers.