What do you mean with hack...?
If you are referring to SK behaviour go for windows and leave us alone...You can do a lot of things with a Win box but many more with a similar Linux / Unix box...
As VictorKaum said, you should determine "hack" a little... Like a Hacker actually just means a person who is very good with any hobby...
But as to your question, it's generally just up to how well the system is configurated.. Unix-systems and Win NT's are generally better protected than Windows 9x -systems.
Try Try2Hack, that's quite nice and I guess that's something you meant with a "hacking lab".
-ZeroOne
Q: Why do computer scientists confuse Christmas and Halloween?
A: Because Oct 31 = Dec 25