Given the way that Linux and Windows are licensed, using Linux would cut on the OS licensing costs, and Linux would make a better use of the CPU as you would only load the modules and process you need, with greater flexibility than Windows.
Also, you can run a server-only Linux, which is not possible under Windows, as well as running a headless computer, which you can access using a simple SSH connection. You may want to take a look at DistroWatch:
http://www.distrowatch.com
They will list all the major distros as well as those that are geared towards server configuration. The LAMP (Linux Apache MySQL PHP) configuration is what you are looking for.