I've gone the other way, running Windows 7 as a virtual machine on Ubuntu since performance is really needed for Linux, Windows is just for Office, VS and lower performance databases, etc. Plus I can shut the VM down and use the entire CPU/DRAM/IO for pytables, or whatever.

You need decent hardware, I've got a beefy i7 laptop with lots of DRAM and will be adding an additional SSD. You can do better with tower or remoting elsewhere, but it's nice to have the whole environment along sometimes.