there are different benchmarks like

http://math.nist.gov/scimark2/
http://www.spec.org/results.html
http://kano.net/javabench/

but in general windows  is faster than linux  because of lack of security and fewer system checks.
TowerJ is known to be one of fastest JVM's on Linux
Bea JRockit is the fastest on Windows
before SUN vs MS lawsuit over MS JVM, MS JVM was also one of the fastest JVM's