I originally tried to get the emu running on OpenBSD. I heard that people had it working on FreeBSD, so I figured it couldn't be too bad -- Right?
. It ended up being too much of a hassle, so I installed RH9, and had it running in no time. True, putting it on a system like Redhat may mean you spend more time customizing or securing things, but it could very likely be less time spent than trying to get things functioning on a system that isn't widely used for that purpose.
As far as Windows vs *nix, I strongly agree with smogo on file linking and scripting. It can make life so much easier. You'll also end up with capabilities that you didn't know were available, like easily running processes in the background.