Want to buy a Dedicated Server? You will need to begin investigating the type of hardware you want to buy and wait for it to be shipped. That doesn't even include the time it will take for you to configure your server. That could take days or possibly weeks. Do you have that kind of time? What if you outgrow your Dedicated Server? Rent a Dedicated Server from A2 Hosting and it'll be ready for you in 30-minutes or less!
The answer to this question largely depends on two factors. Are you new to server technology and not very interested? In this case, Windows is the easiest option to get where you want to go. Do you already have experience with Linux or would you like to familiarize yourself with this operating system? If so, Linux gives you more freedoms to configure your server, and you will be using an operating system that is less vulnerable to attacks from the Internet. Linux is also open source and therefore free.