I feel like it's easier to toy around on Windows, but if you want to do anything (and I mean anything) serious, you'll need Linux. That's been my experience anyway.
In my experience, most of the signal decoders are Windows only (WXtoIMG to decode NOAA satellite images and DSD+ to decode digital walkie talkie signals comes to mind) but for actual real time RF DSP work, most of it is done in GNU Radio, and its practically Linux only even if it can be installed on Windows. And we haven't talked about transmit yet