There are more tools and support (including this forum) for Windows AMT. For Linux AMT, you have to contact http://www.openamt.org/for support.
So, if you are open for both OS, I would recommend the Windows.
Sree's answer applies to the managing machine and the client machine. There are more people using Windows with AMT (including management consoles) and thefore there are more samples and more support available for Windows.
If you are comfortable in either OS, then Windows would probably be better for you.