I have worked in projects that involved customizing the software of an OEM board and I wouldn't say that Linux is cheaper. When buying a board you also need to buy the SDK. You still need to pay even for the Linux version. Some manufacturers offer both Windows CE and Linux solutions for their boards and there isn't a price difference. For Windows CE you also need the Platform Builder and pay for the licenses, but it is easier to go without support.
Another important issue is if you are building a User Interface or a headless device. For devices that require an LCD screen and human interaction is much easier to go with Windows CE. If on the other hand you are building a headless device, Linux may be a sounder option - especially if network protocols are involved. I believe that Linux implementations are more reliable and easier to tweak.
