In reality, these two web server platforms are functionally equivalent, it all depends on what your hosting needs are and which one you are more comfortable with.
The platforms differ in cost, ease of use, versatility and stability. Windows costs more than Linux.
On Linux you can run scripts written in PHP, Perl, Python and other languages originating from Unix. Typically supports MySQL and PostgreSQL databases.
Windows Allows you to run ASP scripts and use .NET and other Microsoft technologies. Supports Microsoft SQL Server and Access databases.
If your website does not require any scripting support, you should choose Linux hosting because they are cheaper. On the other hand, if your website needs scripting and database support, you should choose the platform that supports the technologies you use.