The programming languages are the same, and each one have a set of tools like debuggers, compilers, script languages, IDEs and libraries that are not all that different.
Under Windows there are the frameworks, like MFC and STL. .Net and many APIs to learn, like WMI and DirectX. And the Windows Platform SDK. In general I believe that under Windows the documentation and the environment are more "polished" and clean.
Under linux are libraries and frameworks, like Mono, Qt, KDE, OpenGL. Sometimes the documentation is more scarce than under Windows.
Another aspect is the licensing model. If you will be writing software on a professional basis, then you have to be aware of the licensing issues of the linux platform.
I believe that the distribution is not an issue on this case, unless you want your software to be included in the distro...
[Antonio Feitosa]