As for Windows vs. Linux as dev platform, cross-compiling from Windows is a pain in the ass. Under Linux, I had no problems whatsoever. Speaking of Lazarus, I guess it depends on what components do you use, but I personally found some features lacking under Windows. Configuring Linux can be tiresome at the beginning, mostly because you're already used to the Windows interface and because, oh well, You have to learn something about the system. But if you give it some time, you can really bend the OS to your wish.

It's a matter of personal choice, but frankly, after I finally found a distro I liked (Fedora) and configured it to be comfortable for me, WinXP on my laptop is mostly laying dormant, sometimes turned on for gaming.

Or, if you like challenges and don't mind spending some time banging your head against the wall, maybe try coLinux? It is an interesting project that allows you to, basically, run Linux alongside Windoze. (Yep, you have two kernels running alongside eachother at the same time). Configuration can be tough, but then, you won't have to dual boot and switch OS..