It depends on your requirements. For example, if you wish to host asp.net site then it only runs on Windows Platform. And some .htaccess file oriented project run better on Linux platform.
The 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.
I will prefer you to choose that OS which is best suitable for all your requirements.
