Generally, Windows has better GUI-based tools. The big one being debuggers, I really miss debugging in Visual Studio (C++). But more generally, Windows tends to have a better selection of IDEs, database editors, version control GUIs, etc...
I love command lines and text editors, maybe that's the reason why I prefer Linux, but sometimes, GUIs are useful.
I don't know how the experience on OSX is. It never struck me as a particularly developer friendly platform but I may be wrong. It has a proper Unix shell, so it shouldn't be that bad.