Are there any limitations when using AirPort Express in a Windows environment?
Apple offers the software AirPort Utility for Windows, which is required to configure the router (there's no web-interface). Apart from that there are no limitations to Windows machines. However, I have no idea how good the software for Windows is. On the Mac it's great and easy to use, as you'd expect.

As you say you're a technical person: the AirPort itself doesn't offer many options, it just runs (since more than 3 years for me now, without problems). So if you plan to put linux on the router and do some crazy firewall, natting, whatever that is more than standard, it's definitely nothing for you. It's not a toy.