It mostly depends on what you want to write in. I'd pick the language and then pick the graphics toolkit. If you want to write in Perl then TK is pretty easy. If you want to use C/C++ then GTK or QT would work. If you want to use Python then TK is again a decent choice, though you could easily use GTK or QT there, too.
I've written several monitoring and install/control apps for distributed computing projects in the past and I tend to use Perl/TK under Linux, but that's just because it's my favorite. Under Windows, I used C# for the last one.
If you're not doing something too involved, I'd probably suggest Perl/TK, but that's just me. Of course, you get the added benefit of it being cross platform, too. You can easily compile it into an executable for Windows with little to no changes.
I haven't mentioned Java primarily because I rarely use it for anything other than applets. It'd work, too, though it'd have a larger memory footprint...