This will be my first web host and I"m learning as I go.

I know Linux is more secure and stable than Windows. But I'm familiar with Windows since I use XP. I've dabbled in Linux in the past but my understanding of it is tiny compared to Windows.

Which one should I choose? Or does it not really matter?

Definitely choose Linux. It is by far the most stable for a host. You can use tools like PHP, MySQL, and other great opensource languages. With windows server you are usually stuck with ASP for your server side language.

I have used many different hosts (including setting my own up), and I always come back to linux because there is soo much more control

It more depends on what you eventually want to do with the web server.

If you're building an application that requires IIS, MS Extensions, and .NET, then go the Windows route.

On the other hand, if you're planning on using a LAMP stack (Linux, Apache, MySQL, and PHP), then go the Linux route.

If it were me, I'd go the LINUX route.

If you're doing static web pages, then go Windows/IIS. If youre dynamically generating web pages, go Linux/Apache.