I have to agree with most people on this... For Windows, I recommend MS Visual C++ (if you have the money, go for Visual Studio... you don't need the Enterprise edition as 8*Ball suggested, since that'll run you *way* too much money, but the Pro edition should be just right for you).

For Linux, I would go with gcc or g++. Most other compilers I have used on Unix and Linux are pretty worthless compared to these two.

AJ