I like the control-- if I don't like a particular program, there's probably a variant or even an entirely different one out there that does what I want.
Linux is entirely customizable; I can theme it any way I like, limited to my imagination and programming skill. You can't do that so well in Windows.
Part of my first career involved using command-line interfaces, so for my start in Linux I decided to go the learning route and installed Slackware manually. I eventually moved to Ubuntu because I'm lazy (and installing Slack takes a lot of time).
Depending on how well Ubuntu 12.04 works on my machine when it releases, I may go somewhere else, likely a fork such as Lubuntu or Mint, or maybe another Debian direction; only time will tell.