Actually, it depends on the Windows scheduler settings. On Windows Server, the default is to kill the foreground process (on the assumption that it is just a management app rather than a critical server component).
In either case, Windows tries a lot of things to avoid killing processes. Which at least in a desktop setting is an infinitely better approach than random beheadings without warning.
yeah. a lot of the issue with Linux's approach is that until recently, the kernel was the one making the choice, and it doesn't know which processes matter. The part Linus does a lot better if not getting to oom in the first place (and with the newish compressed ram stuff is getting even better)