I have been enjoying playing with those listed applications in Windows 7, Ubuntu and MacOS. The amazing thing is that I can wrap everything in a single .rnw file, click a single button and the fresh pdf will just show up (given there is no syntax error:( ) What is convenient is that whenever I changed my R code, I don't have to re-paste everything to Word. I can just change the code and then everything is set automatically.
So far, Ubuntu perform best with windows 7 following closely behind. One good thing with Linux is that I don't have to worry about the annoying "changing '\' to '/'" haunted with R in windows machine.
The problem with MacOS is that Apple uses its "home-made" JDK instead of the common ones from Oracle. I am not quite familiar with what exactly is going on in that thing (I know nothing about java but the name). While I was doing my discrete data analysis homework, I have to use the R package "epitools" to calculate the odds ratio (R function oddsratio()). I have no problem running this function under eclipse's java wrapper for R under windows or linux. But in Mac, R kept crashing. I am still looking into the problem.