MySQL or MSSQL Server
Each has its own advantages and disadvantages. I for one enjoy using MySQL because it also offers a free edition and it is also light-weighted on the system and it pretty easy to integrate it with any php site.
So whats yours favorite? Mysql or MSSQL Server
I would never recommend a Microsoft server unless someone needs to run ASP. There are numerous advantages with Unix/Linux systems, especially when you are working with SEO.
From what I have seen, it doesn't appear that a Microsoft server is more secure than a properly configured Linux server. Over the years I have moved a lot of sites away from Microsoft servers and onto Linux due to site owners frustrations with frequent hacks. The key words here are "properly configured". A lot of hosting companies do not do a very good job with securing their servers.
When determining which one is better, MySQL or MSSQL, the idea depends with most people. Individually, to choose which one to use, you have to consider factors like the budget, environment and applications you are looking for. However, some basic differences between the two are that MySQL simply focuses on the performance, consistency and simplicity of use. MSSQL is easier to use in the Microsoft job scheduler and its server is stronger and so is its security. MySQL portioning is easier than MSSQL.
As far as I know MSSQL has also a free version. MSSQL is more used for win applications, MySQL is used for web apps.