I have been waiting for someone to jump in but since no one has Ill give my .02.
Windows and V7 is by far the easiest. V6 in windows isn't very hard just a few things to work around.
Running a VM in windows and running either V7 or V6 is a bit harder as you have the VM and linux (unless your familiar with it) to deal with. Starting the client in windows is a few clicks. Getting the VM running, Linux running and finally the client running just takes longer.
Running native linux is the best with the v6 client, however, many don't want to give up the windows environment if they don't have a dedicated rig.
Keep an eye on this thread.
Elchucko is doing something very right and is dominating the competition with his setup and tweaks. Although I haven't seen any actual numbers out of it yet.
I haven't seen any recent numbers for Windows vs. VM vs. Native Linux so I can't say what each step gains you. This was the hard and fast rule as linux used to allow you different WUs over windows so it was a no brainer. With all the 2500Ks and 2600Ks back on SMP now Im not sure if its so cut and dry.