Say what you like about linux, but it's package managers are a stroke of genius, allowing you to update practically everything on your box at the touch of a few buttons.
For Debian, Ubuntu and other derivatives of either, a .deb package is practically the same as all those 'setup.exe' files you're collecting on your windows system, except that they install, and add themselves to the package manager too.
However, there are some times I have issues with even this.
Firstly, subversion (svn) repositories, which once compiled, are meant to be easily installed with the 'make install', but for me never seems to work.
Secondly, I have yet to find a means of using RPM without a lot of issues. RPM may be good, but it has a lot of problems, as far as I can tell, it doesn't do any dependencies, etc, etc.
Third, and last... non-standard installers, such as the aMSN generic installer, which don't add themselves to the package manager's listings.
I like my package manager - synaptic, for preference. But I still have a few issues with it.