In short.. stability, performance and security.
In long.. the design of a Unix OS generally provides a much more stable system since where when things go wrong, it's just one tiny portion of the overall system that is affected, and this bit can usually be stopped/restarted independently of other things to correct the problem. Conversely, the internal architecture of Windows is a bit of a house of cards so when one little bit goes wrong it cascades through other things and oops.. blue screen of death and the only way to fix the problem is a full system reboot. XP and Win2k3 are vast improvements on what's gone before them, but the problem is deep rooted and never truly eradicated.
Performance is based on stability, and most Unix apps are a little more code efficient than Windows stuff, so they get more done in fewer CPU cycles and need less resources to acomplish things.
The same principles apply to security. In many respects individual components of a Unix OS are just as insecure as windows. However Unix is a multi-user environment, so when an inidividual part of the system has been compromised you're usually running as a user that can't achieve or do much harm to other parts of the system. Windows is a multi-user hack built on top of a single user system. If you compromise one part of the system it's staggeringly easy to obtain superuser admin rights on the entire OS and then you can do real damage - hence Windows has the security issues (and reputation) that it has.
If you want Unix stability, mixed with great performance, and better security, the ability to tinker at the command line to boost your Unix knowledge but still want a polished desktop experience that doesn't confuse the arse off you in minutes go buy a Mac
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SDB