Sometimes I develop on Linux, sometimes on Windows. It’s mostly Windows right now. I tend towards editing with UltraEdit (or the free Crimson Editor, uploading with WinSCP, and doing command-line stuff with Cygwin. If you just want ssh (new-fangled telnet), PuTTY is easier to get working.
If I keep doing PHP stuff, I might end up switching to the Eclipse PHP IDE. Stranger things have happenned.
There’s a list of useful Windows software on my wiki.