Linux was created to combat high priced Unix systems in the early 90's
Its free (as in speech not beer) which means you can look at modify and even make money off some else's source code
You can do everything that you'd do in windows
Windows and Linux can co-exist on the same hard drive without hurting each other
Linux runs on anything from a 386 w/ 2 megs of ram and up (and probably less then that!)
It lets you take back your OS, no more hidden update messages sent to some faceless corporate geek.
You can chat with it, not MSN specifically in terms of the client app, but there are one's such as Gaim which works alot like trillian
You can do direct development if you so choose, no need for a server.
You can compile your kernel for you! You don't need to support 5 million products make it work, which means way faster boot times
You can see what your OS is doing!
its more stable
Its way customizable
You can use your burner
Linux supports most hardware, "winmodems" are starting to be better supported. Check out
www.linmodems.org for more info
I don't mind windows, but I hate things I have to patch something on a nearly daily basis because some company pushed some poor programmer that makes 2 dollars an hour to get his DLL out the door in order to make a deadline, open source may take a little longer, but the quality is there because of that.
You can game on Linux, Wolfenstein, UT, Quake, ect ect
Its literally free

Can't beat that
Its extensible .... so you have a 386 with a couple of NICS, build yourself a broadband router in 30 minutes at low cost and learn something in the process!
You can view DVD's on Linux
You can download warez
Linux is simply another Operating System ... just like Windows, just like Unix and just like the Mac OS....
there's just so many "cool" things you can do. And if you're a control freak its that much better..
Windows is fine, I'm not opposed to the notion of windows or software development for profit. I'm sick of having to register and machine because I changed out a CPU though. I bought the **** OS and license, let me use it... and don't tell me I'm breaking some BS law
I'm not one of the Linux evangilists who like to say Oh Windows sucks blah blah blah and Linux is so much better blah blah blah. When it comes down to computing at the OS level, you use what works for you, if its Windows great, if its Linux then w00t, if its 9600 baud modem attached to an Atari .. thats great.
I prefer Linux for some of the reasons above and more.