Package management covers this, but is too understated: many of the applications that researchers use are downright hard to get working on Windows--particularly if you require any customization. I've run into this in a maddening way when working with geospatial tools. Need custom OGR/GDAL support? Prepare to spend hours figuring out how to make it work with Windows. Some deal to a lesser extent with R. Amount of time spent on edge cases is Windows > Mac > Linux. I use a Mac, but every time I build up an R environment with lots of library dependencies on Linux, I find myself saying, "well, that was easier than I expected." Conversely, when I use Windows, I'm right back to fighting library dependencies.

Windows makes simple things easy, but complex things nearly intractable.