There are many reasons to have a LAMP development environment, no matter your preferred choice of computer platform. The truth is even if you are a hard-core Microsoft Windows user you will find web hosts offer cheaper plans for Linux environments than they do for Windows, if they offer Windows at all. Additionally, you can find various free web hosting options that are based on Linux.
Several reasons for this state of affairs are that Linux is inherently secure and lean with a long heritage of robust multiuser time-sharing hosting.
Of course, another very significant reason is that because Linux, Apache, MySQL and PHP are all open source they have no licensing charges whatsoever. This makes them significantly cheaper than Microsoft Windows and particularly when combined with Microsoft SQL Server.
You might be wanting to get into LAMP development - perhaps a totally new software system you are writing from the ground up, or maybe even to create a backup WordPress or Drupal environment so you can experiment before touching your live site hosted elsewhere.
Whatever the reason, the first step for Windows users is to ensure you have a virtual machine environment. You might choose Microsoft's own Virtual PC, or VMWare or VirtualBox or any other virtualisation technology you might prefer.
Next, pick a Linux distribution. While Ubuntu is generally a runaway favourite I've opted for Debian Linux myself for my development platform.