I am starting to learn Clojure. I have tried it on windows on IntelliJ IDEA 14 with new cursive plugin and Eclipse with counterclockwise plugin. I have a lot of troubles with installing and setting up the leiningen, repl and other plugins/tools useful for Clojure development.
My question is: Is it worth effort and time to switch from Windows to Linux ubuntu or some other distro, because I heard there are so much advantages of Linux terminal and other tools.
PS. Emacs to hard for me to learn yet :)
I use Intellij 14 with Cursive on both OSX (at work) and Windows (at home). The experience is essentially identical within those environments, and you can share your Intellij config between them. The only difference comes on the command line, where the OSX terminals are way better than the Windows ones (although ConEmu helps a lot), so on Windows I also run a headless linux VM with Vagrant because I prefer a linux-ey shell and have got bored of Cygwin.
I'd say there's no Clojure-specific reason to choose OSX, Windows or Linux over the others. Make your choice for other reasons that are important to you.
Incidentally I've also tried LightTable, and it is an excellent Clojure dev environment, but isn't nearly so useful for polyglot development - I'd recommend Intellij or Emacs ahead of it. If I'm using Java interop with Clojure or JavaScript interop with ClojureScript, I value the full functionality Intellij provides when I jump through into those languages. Both Intellij and Emacs have the abilities to run REPLs and send forms to them, and Intellij 14 now has a Show Variables In Editor debugging option, which isn't a million miles away from LightTable's Instarepl.