We have Jenkins on Windows XP, 7, Server 2008 and Linux CentOS. Some virtual and some physical.
All setups work well for us.
You just need to understand what your need is from the Jenkins instance.
Think about backup, up time, disaster recovery, security and access management.
What do you want to build and in what environment.
Jenkins will work well on any platform as long as you match your needs.
I hope this helps.