Until very recently I used Perl on Windows XP and now I have installed Mandrake Linux on an old PC. As far as doing dynamic webpages and Perl goes, I don't see much difference.

There is perhaps a little bit more choice available in modules for Linux due to the fact that it comes standard with all necessary compilers and they work right out of the box.

The difference is small though, so I should go for that what comes most natural to you or that which poses the most opportunities to find employment.