Following a list of some of the things you can do with Linux and not on windows (or very difficult)
1. Install a bleeding edge 3d desktop environment on affordable hardware.
I've seen compiz running on extremely low end hardware. With incredible results. I'm not saying this is something I would advice you to do, because it does eat resources. But it is possible there's a choice and if you like visual effects on the desktop, there's no match for it.
If you would like something like this on windows you 're going to need bleeding edge hardware.
2. Remote control your system (secure) completely over a minimal network connection.
Using ssh you can control your Linux computer completely over a reasonably slow network connection. This gives you a command shell over internet and if you use key based authentication it's very secure.
Because in Linux everything can be configured from the command line your in complete control.
In windows you have some of this functionality with telnet and rdp which are insecure and for full control of a windows system you 're going to need a big connection.
3. Completely change your desktop environment, replacing everything you see.
In Linux you have a choice of destop environments available many of them differing from each other as light and day. This is so great if your used to windows where you have to edit the registry to change your garbage bin icon! In Linux you can choose the looks of everything, you can replace your desktop environment and on top of that you can configure your desktop to look exactly like you like it.
4. Install several completely different Desktops
In Linux you can install as many desktop environments as you like, and choose which one to start when logging in. So if your girlfriend likes to see a desktop that's more like windows in pink or something like that, and you like a ultra lightweight xfce desktop. It can all be there.
5. Run the system without a GUI desktop
It's possible to run your Linux system without the GUI to save on electricity and system resources. This has many applications. For instance you can run a system booted in text mode as a webserver or as your bittorrent download client while you are away. You can log in to this system from your job, to see how your downloads are going. I can go on and on about the possibilities. Something like this feature is available in windows server 2008,you can start that without gui, but it gives you a very crippled system.
6. Turn your system into a complete media center.
Arguably windows media center could be called a "complete media center" but it doesn't compare in any way to the features you can have with a Linux media center. If you look at the things possible with mythTV or linuxMCE you'll be surprised. The Dreambox is build on Linux for a reason!
7. Easily secure transfer files between computers
It's possible to transfer files between windows computers, it's done all the time. But it's clear why there are so many services for file transfer available on the internet. It's not easy doing this in windows. In Linux you can just copy files over the network and over the internet with one simple command. Almost as easy as local copy's.
8. Recover from hard disk problems
Recovering from disk problems which make your system unbootable is possible in Windows, but it's done most of the time by starting with the insertion of a Linux boot cd. I resurrected many laptops from the dead which were running Linux, just insert live cd, mount the home partition and copy your personal data to another disk. replace disk and copy the data back. Ok it's not always this easy, but my experience with windows is: forget it, if the system is unbootable you'd better have a backup.
9. Install software by choosing it from a list
In Linux there are package managers which give you the possibility to select a program from a very big list, and install it. No surfing the web, no searching for cracks or serial keys because the software is to expensive to pay for. No viruses or malware because the photo editing tool you needed came from a torrent.
Almost every program is free and just two or tree mouse clicks away.
10. Have all software on your system updated to the latest version automatically
In windows all software comes from different sources, licenses expire, things have to be paid.
Linux has tools which make it possible to automatically update your complete system to the latest version.
Every program at it's latest version, security and bug fixes all updated. One of the great benefits of free software and package management.
Source: http://www.e-linux.it/news_detail.php?id=7945