Dedicated servers sound pretty great, right? They are. That said, you should be aware of their relatively high prices. Setting up shop on a dedicated server will likely cost you more than $100 per month; shared servers, on the other hand, are far less expensive. The cheapest web hosting services will lease you space on the web for well under $10 per month. In addition, you'll need to handle firewalls and maintenance yourself unless you opt for a managed server, which costs even more.
The answer to this question largely depends on two factors. Are you new to server technology and not very interested? In this case, Windows is the easiest option to get where you want to go. Do you already have experience with Linux or would you like to familiarize yourself with this operating system? If so, Linux gives you more freedoms to configure your server, and you will be using an operating system that is less vulnerable to attacks from the Internet. Linux is also open source and therefore free.