There are lot of benefits with going with windows or Linux. How/where do you plan on streaming your media to? xbox? other computers? internet? If you plan on using this box to store/play media from off your local network and have some Linux experience, I would go with ubuntu server edition and then installing a minimal lightweight gui, like xfce (xubuntu-desktop), and run Samba, like WhollyMindless said. Also check out Webmin which I believe was mentioned in Ep 4x14.
If you just want to get this box up and running with little OS config effort, then Windows is a good choice.
If you plan on using FTP across the internet, look into using SFTP, basically FTP through SSH. Much more secure.