What can you do on linux that you can't on windows? Lots. Inherently linux is more secure because by default all users aren't administrators to the system. That means that John Doe could install a virus that infects all his personal files and all mary would have to do to get her stuff is restart the computer.
Configurability is huge on linux. You could build a basic bash kernel apache combo and fit it all on a single floppy, or you can use the lastest greatest version of X.org + KDE or Gnome to get a fairly good looking system (at a still fairly low ram cost).
You can build nearly any program available to linux to match your system optimizations, meaning you get a fair speed boost from self compiled apps.
You can access a VAST variety of File systems with relative ease, from reiser to ext4 to NTFS, to fat32 its all good. (it is a pain to just get windows to open an ext3 filesystem.)
You can install linux on non-i386 machines.
remote connections in linux are far better then their windows counter parts, because of the way x was designed, you are able to efficiently transport window information.
You can get the newest version of linux for free
you can change your computer into very advanced fileservers, media servers, ect fairly easily due to the nature of linux.
You can do everything windows can do (windows cannot do everything linux can do) with a bit of tweaking you can even make linux look and feel like windows.
You can run a fair amount of windows apps (windows does not run a lot of linux apps) in a fast and native way.
You can operate a complete version of linux from a cd
You can choose between hundreds of free modern versions of linux to find the one you like the best.
And I'm sure I've missed quite a few more things, but that is what comes to the top of my head.