For my Windows testing, I am using XP, since that is what I have, and I am testing with Firefox and IE. I noticed that the Times, Georgia and Utopia fonts all look pretty bad in Firefox. I've noticed that on Digg (yes it still exists) they load a nice-looking font after the page loads, so there is an ugly font that switches to a nice font. On FB and Reddit the font remains ugly.
The fonts on various websites should offer the same experience than any other operating systems, of course they are never pixel perfect since the rendering engines vary.
But with this said it shouldn't be as bad as you say it is and I imagine that something else is causing font problems on your screen, one thing it could be comes to mind and that is early versions of XP by default does not ship with anti-aliased enabled on their fonts (ClearType), I recommend you read how to enable ClearType Fonts in XP.
Also in regards of Digg working fine, this is most likely because they use a font called 'Source Sans Pro' which is a TypeKit Font and it's likely processing without the need of ClearType Fonts, since I believe the format is not TrueType.