NSA has been contributing to Linux development for longer: http://www.nsa.gov/research/selinux/
I feel much better about NSA involvement with Linux because of it's open source nature.
The NSA could be working to patch security holes in Windows or it could be installing back doors or both. With Linux, it's clear they're patching security holes/vulnerabilities.
Now for better or for worse, Microsoft Windows plays a major role in US business infrastructure. So isn't it a good thing for the NSA to use its position to strengthen the USA against new attacks that, perhaps, only this agency has the ability to see coming?
I know they don't pay state tax: http://crosscut.com/2008/02/02/microsoft/11167/