If you are planning to remain at the same version (9.2.x), then your choices are somewhat limited. You cannot use a cold backup to copy your database across platforms, even though both Windows and Linux are little endian platforms. If export/import will not work due to the size of the database, you could try using CTAS (create table as select …) over a database link. This does involve some manual work as you will then have to ensure that referential constraints, indexes, etc. are created after the fact. This, however, won't be any faster than using export/import.
If you attended IOUG Live! 2005 in May, you can download Richmond Shee's paper entitled "Pre-Oracle10g Data Migration to Linux Best Practices Using Export/Import" from the IOUG Web site. His paper and presentation are focused on tuning the import process so that the migration takes less time. It was a great presentation and his paper may prove quite helpful to you.
If you have the option of upgrading to Oracle 10g, there are more options available to you. One is Data Pump, and the other is transportable tablespace using RMAN.
A great resource is the Oracle Technology Network, where you will find many good articles on migrating to Linux.
Dig Deeper on Oracle database export, import and migration
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