These are running under virtual machines? Are there any other virtual machines running on this box? Are the cpu and memory settings the same?
I agree that the only fair comparison would be on bare metal. In my experience though, linux seems to be much more responsive than windows. I typically don't use GUI on anything other than Ubuntu desktops though, so I don't know about CentOS. Also, I know RedHat Enterprise Linux (of which CentOS is a clone) installs a LOT of extra stuff. I can't tell you from memory though how many of those things are services that would be running on bootup, but it may be one thing to consider that your CentOS install could be slower because it is doing a lot more by default than Windows.
Also, VMWare Tools is a must and has a big impact on responsiveness in both systems, in my objective experience.