well I really like linux and everything but after trying several rootkits, looking at the code and reading some books, I reached the conclusion that no matter how great your knowledge is about linux, you still need some knowledge about windows & other operating systems.
The good thing about linux is that its open source, so you can look at the code and see how it works, and if you possess enough knowledge, maybe even change it a little to your own preference.
However, Windows is the dominant operating system of personal computers. On the internet scale, Linux comes more handy, but on the desktop scale, Windows is more popular thus more worthy of being exploited. I've experienced it that several times, I had a need for hacking a computer/network/etc, but all of them were running Win so all my knowledge about Linux brought me no good.
I'd say, go with a Win7 OS and install Linux on a VM. That's what I do, I have more than 10 virtual Operating systems on my PC, running win7 as the main OS. Black Ubuntu & BackTrack are the popular ones regarding Pen testing and hacking.