I've done web development (PHP/MySQL) on both Windows and Linux, and Linux wins hands down for me primarily because of the number of useful utilities at my disposal on the command line and ease in moving around the directory tree.

However, packages like XAMPP help greatly in making sure everything runs smoothly when developing on Windows. Nothing in the PHP/MySQL code itself should have to be different on Windows, but configuration settings need to be tweaked prior to launch on a Linux box.

Caveats I can think of when moving code written in Windows to Linux is that Windows uses the backslash instead of the forward slash for directory paths, but I think newer versions of NT support the forward slash, too - please correct me if I'm wrong. Also, Windows uses a semicolon (;) to separate path variables while Linux uses a colon (:).

Windows also uses \r\n instead of just \n as a newline character so when/if you edit the code after porting to Linux, you'll get ^M characters at the end of each line, which I can't stand. A quick global search and replace restores my sanity though.

I don't have any experience at all using Perl on Windows, sorry.