Many hosting accounst offer both Linux and Windows, but which one should you use?

Linux is essentially a flavor of UNIX, which is old, well-supported, stable, and widely used. And it's also free. Microsoft Windows is, of course, a pay program and some people report it not being entirely stable for web hosting, although this isn't set in stone.

Advantages of Windows Hosting

Provides Microsoft SQL, if you need it

Support for Active Server Pages (ASP)

Runs Internet Information Services (IIS) instead of Apache

Disadvantages of Windows Hosting

Expensive licenses are required and cost is passed along to you

Possibly less stable than Linux