The second biggest reason for me switching to Linux for my day-to-day desktop OS was to learn about Linux in general because I knew the servers, and most of the other web-related software that I use to generate and dish out dynamic web pages, are designed to run on Linux. At the time when I switched, though, I didn't realize there were seperate distributions designed for desktops and web hosts. So I just installed a desktop Suse and started trying to get on my feet. Once I had the absolute basics down I started trying to piece together a web hosting environment.
When I started out I was using the GUI almost exclusively. It took me a few days to even find out there was a command-line interface. I just pottered along at my own pace. Mostly using the GUI, and then dabbling in the CLI when I got curious or when I had to use it.
Now I'm perfectly happy and confident in building an Apache, PHP and MySQL environment (plus all of the associated peripheral software) from source. I'm actually abaout to have a peek into what's involved in adding Java into the mix by way of Tomcat. Things often crop up after some version changes of some software and I have no idea what's in store with Tomcat (like if it runs as an Apache module like PHP does, or if it runs as a seperate server). I'm not worried, though, because I probably have enough of an understanding of the basics to be able to just read through the documentation and work it out for myself. If I don't know enough then there is, of course, always this place.
You can run MySQL on Windows. So if you decide you'd rather stay with Windows, then you can still work with it, but last time I checked there was quite a bit of "this doesn't work on Windows" in the installation (and a few other sections) of the MySQL manual. Most of the things that don't work on Windows are things you'd probably never use anyway, but it'd be a good idea to check first. You don't need to worry about going the Solaris or Linux route either because you can just do like I did and go at your own pace. Start with your GUI and dabble when you want. You can install all the web hosting software via a GUI too, but I tend not to do it that way because (as far as I know) you can't customize the software you're installing when installed via a package manager.