It depends on what you're coding. If you're just learning, and especially in an interpreted/scripting language like Java, then it doesn't matter a bit. Your IDE is your coding environment, and the language you're writing in might have a better IDE on certain platforms than on others. E.g. obviously .NET languages will be best on a Windows box. In general, the IDEs on Windows are probably the most developed and user-friendly (even for non-MS languages like Java). Take this advice with a grain of salt though; I write code in vim and haven't used an IDE for many years. Technically, most of the time I code in vim on a Linux/Debian box, but I'm using it through the terminal app on my Mac.
If I were going to write Java or any of the .NET languages, my choice would probably be Windows. C++, a Unix. Other stuff.... (web languages like PHP, JavaScript, Python, Ruby)... doesn't matter.