I bit the bullet and committed myself to a monthly £30 (about $45) bill for VPS hosting last week for online game development.
The last couple of days though have seen me wrestling the beast into submission, ready to start developing and running my software on it. You think you can just use it, as it comes set up? Well in theory yes, but in practice, as you'll see if you read My Experiences with a Windows VPS, it's not always that easy.
For the last three months I'd been steeling myself to go Linux and lo and behold a cheaper Windows VPS came out of the blue and so I took the easy path. I've written a few websites in the past based on PHP and MySQL and though I'm sticking to PHP, I'm using C# and PostgreSQL with it. This technology stack could just as easily run on Linux so it's a very elegant piece of fence sitting!
VPS hosting only commits you to one month at a time, so it's entirely possible that I may still go Linux in the future.