PostgreSQL will definitely run faster on Linux than on Windows (and I say this as one of the guys who wrote the windows port of it..) It is designed for a Unix style architecture, and implements this same architecture on Windows, which means it does a number of things that Windows isn't designed to do well. It works fine, but it doesn't perform as well.
For example, PostgreSQL uses a process-per-connection model, not threading. Windows is designed to do threading. If your application does lots of connect and disconnects, it will definitely run significantly slower on Windows, for example.
There is also some assumptions around the filesystem which don't exactly favor NTFS.
The one thing you really need to think about - if you are on Windows, most antivirus products will bug out when used with PostgreSQL, because they are not used to this type of workload (such as 1000 different processes reading and writing to the same file through different handles). That means that the strong recommendation is to always uninstall any antivirus if possible (just disabling it or excluding the PostgreSQL processes/files is often not enough). And this is not just for performance reasons, but also stability under load.