Linux and Windows are two different operating systems. Linux is more secure and more efficient than Windows, so unless you have websites that need a Windows server, Linux is the preferred choice. Windows Applications which require a Windows server:
ASP.NET
MSSQL
MS Access
Expression Web
Plesk

One other difference is that Linux files are case-sensitive and Windows files are not.
Example:
On a Linux server, home.html and Home.html are different names.
On a Windows server, home.html, Home.html, and HOME.HTML are the same name.

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