XP is very well regarded. It has less overhead that Vista/7 and is supported until 2014?. For Vista or 7 you need 4GB RAM. 7 is supposed to be new and improved as compared to Vista, but there are savvy users out there who won't try a new Windows OS until the first service pack comes out.
When I got my MBP (see sig), I went with Vista because I was thinking DX10* was must have and I did not wait for the first service pack.

Vista has worked well for me. I've had no problems or headaches with it. It runs Crysis in the low 20's fps. However based on what I've read, today if I was to buy a new WindowsOS for gaming I would pick 7. Of note, I just read a 7 article in PCWorld and it's performance (speed) is not significantly better than Vista.
*In my case DX10 was not must have because I've ended up playing most of my games in low/med settings and I just don't think the difference at low settings is significant. However, when I purchased, DX10 was brand new. Because DX10 is now the standard it is a non-issue. I guess my point is, if you can afford it and you are a big gamer, get a video card with at least 256VRAM and have at least 4GB system RAM installed.