Either "it depends" or "both".
If you are heading into an industry that is very Windows centric or Linux centric then concentrate on that side, otherwise you are likely to encounter both and should understand at least the basics of both thoroughly. Which ever one you concentrate on, you will at some point have to interact with the other.
With regard to Linux being easier to play with (due to being freely available), you can run Windows Server 2012 Eval Edition in VMs pretty easily, though this may be against the EULA so do ready that text in detail before proceeding. You'll need to reinstall after six months when the evaluation license expires, and again this may be against the EULA, but other you have access to everything so you can setup in your private set of VMs a DC (or two or more), a couple of servers & clients, and play to your hearts content in order to learn what is going on. If you are following an official course you may also be eligible for educational licensing through your institution. Other options for practising administration of features that do not require higher editions of Windows is to use some of the cheap VPS providers who are offering Windows license rental with their product these days.
With regard to the EULA issues: the Microsoft Press study/revision book for exam 70-463 documents using evaluation editions in this manner for both Windows and SQL Server, so while it might not be officially supported it does seem to be an accepted approach to learning. Though I'm no lawyer so take this with a truck load of salt.