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For the components that John mentioned in his above comment (e.g. ATLAS) you may want to visit their forums to see what users have to say about inter-platform performance. (A good place to start is, for example, ATLAS' FAQ page.) Some may be better tuned for certain systems and since these packages form the core fo Sage it may be educational to investigate.

As far as I know, Python performance doesn't really vary from platform to platform. Also, it seems like there's an even divide between Linux and OS X users among Sage developers so if there are any glaring performance issues with Sage code I'm sure they would've been caught.

Finally, for usability purposes, I agree with mhampton: Linux boxes are easier (and cheaper) to set up for remote access. Macs tend to have fewer issues and a somewhat more stable environment.