Yes, there is a learning curve with implementing a Linux server, but once you've got it running you probably won't need all that support you get for windows.
It took me about 2 weeks to get my linux server running from scratch. I haven't had to touch it since, and that means about 6 months.
Then there's the rather obvious fact that Linux is completely free.
Plus the learning curve you go through setting up a linux server will probably leave you with a much better knowledge of the priciples involved.
Get your hands dirty and do it for free...
Of course, if you are setting this up for a business then take the option which will be up and running faster and which your management structure is more likely to believe in, winblowz...
In a business situation total cost of ownership will probably be lower for Linux, however in the short term it will probably be more expensive as expert knowledge is expensive to bring into your business.
I have also seen technologies like Citrix implemented very well. Really cheap for your workstation costs, but you still have to pay those exorbitant Microsoft licensing fees....
Basically if you can avoid Microsoft do so, as their software is bloated, runs bad and is mindbumbing to use.