Your enthusiasm is really great, but your question is very much like asking: "Hi all - I want to learn how to drive, what does everyone use? SUV's or hybrids, and what type of fuel?"
And the answer that has already been given is akin to: "What you drive and the type of fuel you use is entirely irrelevant to the task of getting somewhere in a vehicle"
What operating system you use is particularly irrelevant when you're trying to find or exploit a vulnerability in a remote system (which most of the time is what you would try to do), because it only matters what is running on that system and so long as the tool that you're using to do it works, then it doesn't matter what operating system you're running. And besides, due to VM tools you can essentially pick whatever you prefer anyway.
Take this article on writing windows buffer overflows
in this particular case, the author used a windows box running VMware, but it could just have easily been done from a linux box running VMware or a separate physical machine could have been used just as easily.
Another analogy would be: "Hi, I'm trying to learn how to make wooden things, does everyone use hammers or screwdrivers?" you use the tool that is best suited for the job.
In addition to this, there are a number of Live CD linux distributions
that come preconfigured with a number of useful tools. So this makes it even more irrelevant what operating system you're running. Some tools run equally well on windows and linux and so it doesn't matter which you have.
Sorry if this post sounded like a rant. You'll find that if you want a more specific answer, you'll need to ask more specific questions.