For gaming I recommend Windows Xp SP 3
that was true 3 years ago but not now. windows 7 is the current best. 32bit or 64bit. with 64bit being the better again option for most people.
if your a retro gamer then 32bit may be the better choice as 32bit will install games that use a 16bit installer.
linux does use less resources as far as memory management goes but its emulating windows to play windows based games so its actually less efficient over all for performance. same with any emulating software.