I typically use vim/vi, because it's usually already installed on the OS's I work with and vim for Windows works the same. Also, using the same editor across these different OS's, I don't have to worry too much soft/hard tabs. The contents of rc files on both Windows and UNIX/Linux are the same too, so I can just maintain one run control file for all OS's.
I have played around with some IDE's for python, and found that Komodo Edit is pretty good. It's also free: http://www.activestate.com/komodo_edit/ -- http://mail.python.org/mailman/listinfo/python-list
