Windows does have tons of features like RMS, Federation services, group policies, read only DCs, etc... most of the features that windows has that linux doesnt (as far as im aware) is more beneficial to larger corporations.
if you want to set up a small network and have a dns server, dhcp, file and print sharing, ldap, etc... you can get the job done with linux for free.
Im by no means a linux expert but i think windows might have the edge in load balancing, clustering, and other enterprise type features.
I dont think linux has anything like RMS or Federation services... correct me if I'm wrong please.
windows also has some pretty neat terminal services features
I would look at CentOS for a linux server.