Most people who have had the opportunity to test MySQL on Linux and Windows have reported that running on Linux gave superior performance results - this is partially due to the fact that Unix is a more mature development environment, partially because the core development of MySQL is done on Unix, but also partially because there are many features that cannot be implemented properly on the Windows environment as of yet.
If you have the chance to compare operating systems for MySQL, give both Linux and Windows a try - it is always best to test things out using your own code, as everyone's mileage may vary.
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