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I switch back and forth between both operating systems all the time. As others have pointed out, there can be a few issues, but if you're careful there shouldn't be a problem.
I would recommend you first make a back up of your data. Just copying the files to a new location is fine; the custom column settings are stored with the library itself. But as Kovid mentioned, the import/export tool might be better.
When you first open your library under Linux, run the Check Library tool. There may be some issues with file name case (hopefully only a few), in which case Check Library will say that there are missing books and that there are extra files.
DO NOT HAVE CALIBRE AUTOMATICALLY FIX THESE! You will lose books this way.
Make a note of them, then open the library on Windows. For each of the bad books, rename the author and/or the title to something completely different, then change them back to the way they were before. This should fix the case problems.
Open the library on Linux again and run the Check Library tool again. If there are still any issues, repeat the above to fix them.
(Note that I used a different method that's not recommended. I renamed the files manually myself. But I was VERY careful of what I was doing. If you're not confident in your ability to fix it this way, don't do it)
Once there are no more issues, you should be good to go.
If you switch back and forth between Windows and Linux, you should probably run Check Library periodically to see if any more issues have been introduced. And on Windows, never directly rename an author or book to change letter case. Use the two-step method I mentioned above.
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