I actually prefer a Cygwin terminal on Windows to a Rxvt or similar lightweight terminal in X Window. The biggest pain in Linux is the selection buffer. With Console2 on Windows, selecting text puts it in the clipboard buffer, and you can then select a bunch of text in your IDE and overwrite it with a paste. The same workflow doesn't work at all well in Linux; first you must delete the text in the IDE, then select the text in the console, then very carefully aim where you want the text inserted and fire with the middle mouse button.
Even worse, IDEs like RubyMine clobber the selection buffer for common operations like Ctrl+Shift+N (Navigate | File); not only does it clobber the buffer, but it hides the window if it loses focus, so it's actually impossible to copy text from an rxvt terminal into its search box!
As a practical web development environment, I think Linux is the way to go to minimize the distance to production. But my preferred means of interacting with Linux is ssh, either to a VM or over the network, from a nicer desktop OS. Which for me is Windows.