most likely the computer itself is faster under linux, but your GUI is slowing you down. what desktop are you running? if KDE or Gnome, you will gain speed by switching to a lighter weight window manager, as you mentioned.
also, do a search on LQ for turning off unnecessary daemons and services. sorry i don't have a link handy, but there are plenty of threads here on the topic. gl
>edit, forgot to mention to check out hdparm too, to make sure your hard drives are working in DMA mode:
hdparm -Tt /dev/hdx
is the hard drive you want to test. compare your results to see if your hd is up to speed in the hdparm thread