I'm not sure that it matters as much anymore. I used to work for an
all Windows shop that did ColdFusion and Adobe CS3. So I approached
Ruby from Windows. I found that it was fine. Now, I code in Mac OS
X, which is also pretty easy to do.
I have a slight preference for Mac or Linux because I prefer to use a
terminal sometimes. Its nice to be able to open terminal and type irb
and try an idea.
In either case, I think the more critical choice is what sort of IDE
you want to use. I use NetBeans and that works really well for me.