There are also some odd issues with the tools. Did you know that CUDA-GDB will give an internal driver error if it can't write to /tmp? No description of what's wrong, just "internal driver error". That one took a while to figure out (and I wasn't the one who figured it out in the end).
I've never really programmed under Windows, so I don't know about the tool support, but I'm very happy with Linux development tools. I have actually used the Nvidia profiler under Linux, but I haven't figured out how to make it give me useful information.