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Compilers that can build binary in both Linux and Windows

I am using the WatCom Compiler to build the binary along with the Visual Studio 2005 IDE in Windows. Can you suggest another compiler that can build the binary in both Linux and Windows?
You don't mention whether or not you use the C/C++ or Fortran compiler, so I'll assume you are using C. First you should be aware that there is work currently being done on Watcom for Linux. This link will give you instructions on how to install Open Watcom on Linux.

Have you looked at gcc, commonly associated with Linux or Unix? The gcw project (GCC for windows) is an attempt to port gcc to Windows. You can also look at installing Cygwin, which would give you a Linux-like environment for Windows. It acts as a Linux API emulation layer.

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