Well, here is an interesting thought. If you want the latest software on Windows, it is fairly easy to obtain, while if you want the latest software on Ubuntu, you need to pray that it is avaliable in the packages distributed for your particular version of Ubuntu, which more often than not, is not the case. For instance, the latest version of Firefox avaliable for Ubuntu 9.04 is 3.0.x.
If you want 3.5.x, you are going to have to download the source and compile it yourself, which is not very automated. I tried getting 3.5.x on my Ubuntu 9.04 virtual machine and that is what I had to do. With Windows, you usually have an installer avaliable from the developer, in this case Mozilla.
This is mostly a Ubuntu thing, as it doesn't apply to Linux in general. For instance, I am installing Gentoo Linux in a virtual machine right now and if I want the latest version of a given piece of software (e.g. the Linux Kernel, GCC, etcetera), I just need to edit /etc/portage/package.keywords and specify the version of the software in the portage tree that I want, save it and then run emerge on package. All of the compilation that follows is completely automated and I can go get a drink or something while the system runs. Heck, I am doing that as I type this with GMP (from 4.2.4 to 4.3.1), GCC (from 4.3.2 to 4.4.1) and the Linux kernel (from 2.6.30r5 to 2.6.31).
Oh and before someone says it, there is a version of Firefox 3.5 avaliable for Ubuntu 9.04 under a package other than Firefox, but it lacks the official branding and as a consequence has an extremely ugly picture of a globe that is visually unappealing. :/