Linux is an open source system and is therefore more cost-effective to operate and maintain than Windows, meaning that Linux hosting will cost you less than Windows hosting. Linux also has a reputation for stability and speed which means that Linux web servers will crash less often than Windows web servers and Linux runs most processes faster than Windows.
Linux supports a wide range of software, applications, languages, and databases such as PHP, Perl, PostGre, MySQL and many others making it very scalable. On the downside, Linux is not fully compatible with some Microsoft technologies so if you are using Access, ASP, MS SQL, or VB development tools then Windows would be a better bet.