I've used both and as Shane said, each has its place. For ham radio - and other electronic applications such as as PC based test equipment - I prefer Windows. There are applications available for Linux for such things but they generally lag behind their Windows counterparts in terms of features, stability, support, ease of installation, and fit & finish. And since Windows is mainstream, there are many, many more software applications to choose from.
My other issue with Linux is the endless array of available distros and the resulting mess from that i.e. some programs only run on certain distros etc. and some distros will not run on some hardware. Way too many fingers in that pie IMO.