So the funny thing is, I end up saying Windows because for my job as a Windows malware analyst, I've had to learn Windows internals more than most other programmers out there ever have to so at this point, it's like "why the hell not?" I'm not a MS fanboy, but rather, I just know it so well and I am very comfortable doing everything in it, and I know its weaknesses, its strengths, etc... It's a deeper thing than just "what do I prefer?" On top of that, I've actually used Windows the most in my past too.
I used to think Linux was more versatile and could "do more" but frankly, it's not really true. I could come up with anything anyone could do in Linux on Windows in some way, shape, or form, at least application-wise. I think Linux is a fantastic operating system and I love the manpages and the connection with C programming that it has as well... But it has its annoyances and problems just as any other OS and I don't believe on placing it on a pedestal above the rest like some devs do.
That said, What I DO like about Linux is that it's open-source so you can see exactly what the OS is doing if you desire.... But counter-argument, that's not a concern for a reverse engineer like me whether or not the source-code is available ;)