Beware, the rails world is a massively frustrating mess of outdated and inconsistent documentation and examples. It is maybe one of the fastest moving and most faddish development communities there is. By the time you learn something it will already have changed. Even the books are not consistent in which version of rails they are talking about. Documentation by blogging! enough said.
I currently do RoR on windows. My advice is to avoid windows if you can. Lots of things don't work and the rails community really really doesn't care about you. The move to Git has really messed me up since it doesn't work very well on windows. A lot of gems will fail because of this (Heroku looks like a cool tool - too bad for me it can't handle window's Git setup). Capistrano is out. It goes on and annoyingly on.
Plus, in the back of your mind, you always wonder when something doesn't work "Is it a rails/windows problem?" I am not sure this is solved by using linux because linux brings its own hassles like constantly having to upgrade all those different dependencies, etc...If that's the kind of thing you enjoy it might be an okay choice for you. Those days of enjoying system fiddling are behind me and I just want to get on with doing my work. I am planning on installing ubuntu on a home machine just so i can get familiar with things like capistrano so maybe my opinion will change.
I'd highly suggest if you are going to do rails dev for any amount of time you seriously consider getting a Mac. If you value your time and sanity it will pay for itself almost instantly. Depending on how you value your time 10 hours of debugging windows/linux setup problems and you have spend as much as a Mac costs anyway.
Rails is a joy compared to what it replaces but it is a bit of a pain in that its proponents skip right past a lot of the boring but important stuff like documentation, compatibility issues and community building. It is way more powerful than other frameworks like Django but I sometimes look over at the Django documentation and community and sigh like a guy with a wild sexy girlfriend looking at his friend's plain but sane and stable wife. But then rails adds a feature and I go "Ohhh shiny!"
IMO the Rails Screencasts are better than the Peepcode screencasts. RubyPlus also has screencasts, mind you, they are bit rough around the edges. BuildingWebApps has a free online course that starts doing screencasts halfway through.