What is the most efficient way to run Windows and Linux at the same time?

It would certainly depend on what *nix applications you are referring to. The majority of open source software can easily exist in a Windows environment. Short story, you may not need to run a full stack of Linux to get the outcome you are desiring. If you mention the applications you need to run on the Linux side, most people on here will be able to help you better.

From a purely multiple OS view though, I personally would run Windows inside Virtualbox while having Linux as the resident OS. That of course is my preference though. We would need to know what your primary choice of OS is before we can make the call on what is the best route.

Info added after OP answered the intended use of the environment:

You can run Emacs on Windows http://www.gnu.org/software/emacs/. As for burning and partitioning, since they are relatively simple processes I would strongly urge you to install Linux on a USB flash drive or small external HDD and make it a persistent environment.

See here: http://www.pendrivelinux.com/

And here: https://wiki.ubuntu.com/LiveUsbPendrivePersistent

Going this route you keep your Windows environment (and Ruby dev) having direct access to the hardware with no abstraction layer involved. When you need to use the open source tools you mention simply fire up Linux from the USB drive and do what you need to. No virtualizing necessary in my opinion. But again, that is my opinion. I'm sure others will give you additional course of action to look into as well.

If you need further help with the above, let us know.

I have always found AndLinux to be a good option. It allows you to run both Linux and Windows together without the need to keep the Linux portion confined to a VM window. Here is a brief intro from their page:

andLinux is a complete Ubuntu Linux system running seamlessly in Windows 2000 based systems (2000, XP, 2003, Vista, 7; 32-bit versions only). This project was started for Dynamism for the GP2X community, but its userbase far exceeds its original design. andLinux is free and will remain so, but donations are greatly needed.

andLinux uses coLinux as its core which is confusing for many people. coLinux is a port of the Linux kernel to Windows. Although this technology is a bit like running Linux in a virtual machine, coLinux differs itself by being more of a merger of Windows and the Linux kernel and not an emulated PC, making it more efficient. Xming is used as X server and PulseAudio as sound server.

andLinux is not just for development and runs almost all Linux applications without modification.