The main advantage of working in Linux, IMO, is that you have the ability to drop down into C and do some low-level programming if you find it necessary (generally for performance). Consequently, some things just run faster on Linux than they ever will on a Win platform (which, I believe, is still compiled using VC++ 6.0 and might be slower than necessary at this point!).
I'd second @yaxm's recommendation of VMWare. If you have a reasonably fast disk (7200+ RPM) you'll have good response from your VM and you can go 'full screen' so it's almost like using it as your native environment. You'll probably want to have 2GB of RAM for decent performance. This is the route I've gone because I don't want to lose all the stuff I've got on my Win laptop.
@Ryan: Why denigrate the desire for a GUI? People don't just give up their development preferences just because you're using Rails. While I use a GUI less and less, I sometimes find that it is significantly quicker to get a quick visual scan of the db to diagnose some problems.