It's not even all about having fun solving problems, or even the politics of open-source. If you're serious about being a sysadmin or you just want more fine-tuned control of your PC, linux is the way to go. I find that Microsoft, by doing so much automatically for you in the background, feels like it's trying to control your life. If you don't like the default settings, it can be a pain to try to change them -- and that's not even taking into account the restrictions of DRM and related nonsense. Whereas in linux all too often there are no defaults and if you want something done you have to learn to do it yourself. But the upshot is that once you've configured something in 'nix and know it inside-out, it will be stable and act the way you expect it to. Linux never tries to do anything without express instructions from the user. So if you want to run a web-server that doesn't have the overhead of running a windowing system and isn't going to crash for no apparent reason once a week, it's time to learn to use Linux. (Keep in mind I haven't any experience with commercial server editions of Windows, but from what I gather there are good reasons Linux is the most popular choice for servers, and then of course it's also free...)
It's the age-old trade-off between ease of use and power. If you want greater control you're going to have to spend more time learning to use the tools, no matter what you're doing.
That said, I only made the switch to Linux seriously this summer, so I never truly had to "get my hands dirty" (though I knew DOS commands before I could read and write in English, my native tongue...); I'm currently dual-booting XP and Ubuntu. I need XP for games of course, and to fall back on when I just need to get something done right away and don't have the time at the moment to learn how to do it in 'nix. But gradually I'm spending more and more time in Ubuntu. I'm doing all my software and web development in Linux and love that I'm finally coming to grips with the command line as it lets me do things I'd never dream of doing in Windows. There's really no comparison between shell scripts and batch files...
On the other hand, when I get more serious about homebrewing a shmup of my own I'll be going back to Windows, partly because that's the target market and partly to learn Visual Studio in depth, as that's something employers are bound to be looking for. But I'll continue using Linux for everything else and I'll continue to recommend it to any one who's serious about having control over their computer.
Try
http://www.linuxselfhelp.com as a general-purpose linux resource, and remember Google (guess what group puts the most information online for free... that's right, it's open-source software developers

). Learn about Man (manual) files. Learn to use a package manager like apt-get (Ubuntu comes with the Synaptic Package Manager, and it's a breeze to use) -- these tools actually make installing new software even more painless than self-installing executables in Windows -- just search for what you're looking for, check them off on the list, and click "Install". Package managers will take care of dependencies for you (a common source of problems for newcomers) and recommend sources of information if errors do occur.