Linux is more secure and more efficient than Windows. Linux also has more of the features web designers expect, so unless you have websites which need specific Windows applications, Linux is the preferred choice.
Windows applications which require a Windows server:
ASP.NET
MSSQL
MS Access
Visual Basic development
One other difference is that Linux files are case-sensitive and Windows files are not.
Example:
On a Linux server, home.html and Home.html are different names.
On a Windows server, home.html, Home.html, and HOME.HTML are the same name.