It depends upon what you want to use it for.

Do you have lots of old programs that you want to keep on using? If so, you need Windows. Wine will let you use *some* of your old software, but it's not a wonder-product that will run any Windows application on Linux, especially if that application integrates itself (i.e., writes stuff in the system registry)

Are you a hardcore gamer? If you want to play the latest and greatest FPS games, you need Windows. If you don't mind waiting a year or two, Linux will do.

Are you an internet junkie? Linux is for you. Browsing the internet is a much more smooth, enjoyable experience under Linux. 99.999% of the viruses, worms, and trojans out there attack only Windows systems. There are more internet applications available for Linux. (Don't like mIRC? Well, in Windows, you're pretty much stuck with it. In Linux, there are literally dozens of apps out there. Including, I believe, an mIRC port for Linux.) Everything from browsers to IM clients to P2P filesharing applications. Linux actually has decent internet integration from the command-line. I don't ever run KDE (or any other GUI) on my Linux server, but I still used it to browse to kernel.org in Lynx, download a kernel update from it, FTP to the gamers-alliance.com server and upload the A+ Self-Test Software for Nameles, and send and receive email, all this week, all from the command-line.

Multimedia junkie? Linux is probably better for you, as well. Full-screen video can be a resource-intensive process, and Linux is a lot easier on your system resources (CPU, RAM, etc) than Windows, so videos will play smoother and crash less.

Afraid of the command-line? Windows is for you. Everything in Windows is integrated into a GUI applet of some sort. While many GUI applets are avaiable in Linux, they almost all suck, and the command-line is a preferable method of getting anything done. Like Unne said, there's a steep learning curve with Linux, and you have to be willing to get into the guts of your computer. But since you're rolling your own, that's probably not an issue.

Want to set up a web server? Use Linux. Just add Apache to your package list during installation, and Linux will automatically install and configure your computer as a web server. Then, all you have to do is copy your html files to /var/www/html and go. Anybody on the web can see your web page by pointing their browser to your IP address, or you can register a domain name (or a redirect with dyndns.org) to get a human-friendly domain. Also, the vi editor (at the command-line) is about the best tool I've ever used for writing HTML. Screw those WYSIWYG editors that write IE-only code and put so much useless crap in the page that when you view the source it looks like the Tazmanian Devil has attempted to mate with it. If you code HTML in Notepad now, once you learn vi, you'll never go back. It's got syntax highlighting, hanging tabs, and it doesn't suck up your memory resources or anything like that.

Want to quickly and easily write GUI software? You want Windows. I have yet to see a programming IDE that can compare with Microsoft Visual Studio. It's got everything a programmer could possibly want except bragging rights. If writing good software quickly and easily is more important to you than beating your chest and bragging, go with Visual Studio. Otherwise, you're probably coding ASM programs in the DOS editor anyways.

Want to set up a large-scale network? You want Windows 2000 Server and Active Directory. Linux has a reputation for being a good networking product, but for large networks, Active Directory tops anything Linux has to offer. You can set up domain controllers with multimaster replication, so if one of your servers goes down, it doesn't matter--any other DC in the domain can fill in for it transparently. Unlike with a workgroup environment (which is all of the networking that Linux supports), if you have multiple servers, you don't have to authenticate to each one separately, and have a user account on every computer in the network. You log in once--with your user account in Active Directory--and every computer in the domain recognizes you. Linux doesn't have any unified directory service *at all,* although Novell is working hard to bring NDS to the Linux world.

EDIT: Why don't you just set up a dual-boot machine and try Linux out yourself, and see how you like it? That way, if you don't like it, Windows is still there for you?