Many bits of Perl don't work quite right on Windows. fork, signals, chmod, etc. If you use Windows you may not be able to use all the CPAN modules you'd be able to use in Linux (though in non-Windows, you won't be able to use Windows-specific modules either...). The Windows shell is not as nice as something like bash in Linux. Many other reasons.

Perl in Windows is bearable though, I use it often (by necessity). Linux is what I'd recommend, just feels more natural. Any Unix-like OS would probably be about the same. This is a bit of a religious argument however, all a matter of opinion.