I would strongly recommend you stick to GNU/Linux if you use Ruby on Rails. I worked on a project for seven years that was built on Ruby on Rails and supported Windows deployment. It was generally a painful experience unless there's a programmer on the team that routinely uses Windows to develop the project.
You will likely hit issues even before you reach fanaticism.
Products like RailsInstaller will get you up and running on Windows but some Ruby gems are only tested on GNU/Linux and/or OSX. Gems that are "pure" Ruby are generally okay but you'll hit problems if a gem compiles native code during installation that relies on the Gnu C compiler or that the gem does not include Windows binaries.
If you were the only one to use the code then, yes, you could pick and choose the gems that work. However if the project is open source and you're accepting outside contributions, or you're going to employ programmers with Rails experience, they will probably will not know which gems work on Windows and which gems do not.
The problems are not necessarily limited to development. Those that deploy your project will find it hard to get help from forums or support channels for issues that turn out to be Windows-specific.