It varies very heavily depending on what you're looking to do, and what type of user you are.
For introductory users, it means you can find a distribution of Linux that someone else has modified that meets your needs. There are distributions nearly as
fully featured as Windows, and
others smaller than 100 MB that can run on ancient hardware, shells that go anywhere from text-only to full 3d, and countless other options. There are versions that run on ARM architecture, or on other even more specialized processors, distros built for pure media editing and others to handle server structures best. If your current version of Linux switches the Start Menu to take up the full screen, there are other versions that'll do it the way you want. It's fairly easy to find a distribution that's high-performance for gaming, or very robust for running a display forever.
At an intermediate level, you can make those changes yourself. It's quite possible to roll a LinuxFromScratch or ArchLinux distro that exactly matches your needs and nothing more, and in doing so learn a lot about how the system works at a fairly low level. In some cases, you can also get performance gains, although as a practical matter those gains are generally too small to be worth the time.
If you're more experienced, or a programmer, it means that you can also make changes to match what you're aiming to accomplish. If the code breaks under certain circumstances, or if you want to adapt it to do something else, or if you want to change how it looks, you can. It's hard, and most people don't, but it's possible where it just doesn't work in the closed source world. If you have specialized hardware, it's much easier to develop in a *nix environment than a Windows one, and most parallel computing work starts in the open source world. This isn't always related to changing the Linux kernel itself -- very few people do or even have the ability to do so -- but much more of the Linux application world lets you do this than the Windows one.
Finally, because it is open-source, you can theoretically be confident in knowing what it's doing. There are a lot of components of Windows and OSX that are black boxes : we know what goes in and comes out, but we don't know why or even what it's doing. If you're very interested in security, this matters.
On the downside, it's hella-frustrating to learn.
