You can't install (change) OS just like that on your Phone. I don't think XPeria J have much developer support. Still you can check over XDA whether some ROM (Ubuntu Touch / Firefox OS) is there for your phone. Else you can learn development and port it for your phone (though that's another story altogether 
)
Pros and Cons of Linux Vs. Windows are many and have been running for years. You can find 1000's of articles over internet regarding this.
Some articles which I can refer are...
Linux vs Windows | A detailed comparison between Ubuntu And Windows7
Linux vs Windows (a comparison)
The Pros and Cons of Linux, Windows, and OSX
Linux vs Mac vs Windows (unbiased comparison)
Mac, Windows, and Linux: The Pros and Cons of Each Operating System | MNS Group
There are lakhs of same thing exists over internet.
Summary, Linux is FREE, Secure and Open Source. Whereas Windows comes for a (huge) price, Not Secure (in comparison to Linux / Mac), more prone to Virus / Malware etc and being closed source you are restricted by EULA, but User Friendly (again this is a huge topic).
)Pros and Cons of Linux Vs. Windows are many and have been running for years. You can find 1000's of articles over internet regarding this.
Some articles which I can refer are...
Linux vs Windows | A detailed comparison between Ubuntu And Windows7
Linux vs Windows (a comparison)
The Pros and Cons of Linux, Windows, and OSX
Linux vs Mac vs Windows (unbiased comparison)
Mac, Windows, and Linux: The Pros and Cons of Each Operating System | MNS Group
There are lakhs of same thing exists over internet.
Summary, Linux is FREE, Secure and Open Source. Whereas Windows comes for a (huge) price, Not Secure (in comparison to Linux / Mac), more prone to Virus / Malware etc and being closed source you are restricted by EULA, but User Friendly (again this is a huge topic).