I'm biased obviously. But the fact is that when I use my pc (hardware is shown in the video wiki), everything comes up and LinuxMCE is running and playing in less than 25 minutes. All the hardware is found and drivers are loaded.
I've also used XP MCE on the same box. It doesn't come with drivers for the network card, video card, or sound card. Getting the network card drivers is a problem because without networking I can't download them. So I have to use a separate pc to get them online, then put them on a flash drive. I tried running Vista on that same box, but it doesn't work.
So Linux has an advantage in that all the foss drivers come as part of the distro, so if you're stuff is supported, and you have a recent distro, it's all detected and works without hunting for drivers.
However you are right that there are is a lot of hardware that's not supported under Linux, because many manufacturers don't make Linux drivers, and it's often hard for the foss community to reverse engineer them without proper documentation. So Windows has the advantage in terms of breadth of driver support.
But this is disclosed right in the install process. That's why there's a list of known-Linux compatible hardware. And the bottom line is that when you do have Linux-compatible hardware, Linux is *MUCH* more stable than Windows. I've left my main LinuxMCE box running in a stress test loop for over a week starting and stopping media every couple seconds and randomly choosing menu options a couple times a second. One week later it's still running. On the other hand, as any Windows user will tell you, after 1 day of using Windows heavily you pretty much always need to reboot, or you have some crash.