It really depends on what the machine's purpose is, and your expertise with using the operating systems.
Personally, I use Linux on any computer that I have a say-so in what is installed. But, for the average user, Windows may make more sense to use.
First thing you should make sure of is that the hardware in the laptop is compatible with Linux. Nowadays the hardware support for Linux is superb, and most likely there is a driver or workaround for all of your hardware. My last install of Ubuntu 10.04 LTS found every driver on the first try!
If you're going to use the laptop for games, web browsing, and general computer usage, you may be better off with Windows. I haven't been a fan of MS since XP, but Windows 7 is actually pretty nice.
All-in-all its more of a question of what are you going to need the laptop to do, and which OS can do it better.
Or, if you've got the hardware and HDD space, set up a dual boot! I recommend installing Windows first, and then Ubuntu, if you plan on a dual-boot situation. Doing it the other way has caused me too many headaches in the past, although it has been since XP/Ubuntu 6.04 since I've set up a dual-boot.