Could they ever be compared ?? I don't know, but I have used them both, and see many "reviews" floating around, so I might as well have a say ...
Well, frankly, Windows XP IS faster than my Fedora Core 1 installation. Explorer is faster than Konqueror, IE is faster than Firefox. I haven't used MS-Office at home, but it seems to be faster than OpenOffice in college. XP, in fact, all windows systems are pretty user friendly too - they allow me to install and remove programs pretty easily. Yeah I know, RPM supporters might cry foul here, but at times even RPMs gave problems. For instance, you may never come to know if there were any errors installing an RPM if you use Red Hat's graphical installer (ask Pascal too ...). Admittedly, things are a lot clearer if you are adept at using the command line. But most people dont do that.
Windows systems also have so many applications that I had gotten so used too ... (not any more :-). Macromedia, Adobe, Corel - so many applications you felt you couldn't live without. But believe me, you can. At least the normal user can.
However, when it comes to stability, GNU/Linux beats XP hands down. Yes, XP is much better than the 9x series, but it does crash. There ARE blue screens in XP (ask Shrek). Application crash, and surprisingly, more frequently than in the '9x' series. There were many things that had gone wrong in my XP installation : Explorer and IE used to crash frequently, IE used to freeze etc. Mind you, these are not 3rd party applications, these are bundled applications. I reinstalled XP. For a few days, there were no problems, but again, my "Find Files ..." dialog does no finding at all, it just shows an **EMPTY** message box, with a single OK button to click. Strange, huh??
In contrast, my Fedora installation has never kept any mysteries. I always know what is happening, why it is happening. True, sometimes it takes me a couple of days to find out. But when I do, it is almost always an EXPECTED behavior, caused due to some settings that I myself changed. Also, native programs run faster in GNU/Linux. Write a processor-intensive program in C/C++. Compile and run in both Windows and ZGNU/Linux. At least on my PC, XP loses.
If you want reasons to hate Microsoft, you might want to check out this page. And if you dont believe that XP crashes, take a look here.