At the most general level, developing in Java is the same in Windows and Linux. Most tools are available for both platforms: starting of course with the jdk (http://java.sun.com/javase/downloads/index.jsp), IDEs (http://www.eclipse.org/ , http://www.netbeans.org/ and more), application servers (http://labs.jboss.com/), the java 3d api (https://java3d.dev.java.net/ ; you need it if you want to develop 3d applications) etc.

The basic question is what os are you comfortable with. If you can find you way around Linux, it's probably best to choose it as it gives you easier access to the system. If you're more into windows, go with windows.

Two caveats to look for:

1. some Linux distributions come with a default Java implementation which is not the standard Sun implementation, you should probably install it (Ubuntu for example has it under multiverse and it's called sun-java6-jdk) .

2. If you do develop a web application, you'd probably want to test it both with ie and firefox. This means at least partially working with Windows.