Windows Dedicated Servers offers great performance, reliability and security. Windows Dedicated Hosting can either be managed or unmanaged. A fully managed server is being taken care of by the provider's system administrator as opposed to an unmanaged server where you have to perform maintenance and administrative tasks yourself.
Although a Windows Dedicated Server is more expensive than a Linux Dedicated Server, it usually offer additional features such as ASP and ASP.Net support, Microsoft SilverLight support and Microsoft SQL Server.