I've done what you want to do for exactly the same reason: full control over the output (you're having font issues with your current solution) and much slower Windows machine than the remote Linux development box.
Most answers are bogus: having a "Linux development environment" is not just "having an IDE". It's about having the whole Un*x power at your fingertips.
Is it a local or remote Linux server? bandwith issues? Because on a LAN, even an old 100 MBit/s LAN, FreeNX flies. How's the load on that Linux server?
Setup the free FreeNX on the Linux system, install the free FreeNX client on the Windows machine and bingo, you've got your Linux development environment at your fingertips.
FreeNX is much more efficient than VNC, it's night day (VNC is actually pretty bad perfs wise, even compare to Windows's Remote Desktop... But FreeNX flies).
Regarding speed, a long time ago, I set up my main Linux workstation (it was a Pentium 4 / 2GB of memory back in the days) on which I was developing full-time using IntelliJ IDEA (another IDE), to serve a full X session (complete with a window manager etc.) that another developer was displaying remotely to... run another IntelliJ instance (and access all the Un*x niceties). It was on a LAN 100 Mbit/s and it was as if the app was local for the other developer.
Anyway, on today's hardware I cannot imagine how this could not work: I now have here a Core 2 Duo / 4GB of ram as my main desktop and a Gigabit LAN.
Such a setup was working perfectly 4 years ago, it would work perfectly today.
Now if you tell me you have bandwith issues or that the Linux machine you've got your account on is under heavy load or that it's not on the LAN, then things may be different...
How the younger developers who want a powerful Un*x system do it at the company I'm consulting for nowadays (that only has Windows desktops)? Most of them bring their shiny MacBook Pro and use that to develop ;)