[raverbashing]

Exactly

VC++ is much easier to work with than GCC on Windows (and I'm not talking only IDE but API support, debugging, binary size, etc)

Also, video driver support is best on Windows.

But of course, demos are made for Linux/OSX as well. You can try them on Wine as well under Linux, it's worth a shot.

[pjmlp]

The demoscene for Linux never really took off. Most of the demos I've seen were ports of existing ones.