One of the best and most useful features of Linux is the central install/update application. While in Windows, Add/Remove programs doesn’t actually find and install the programs for you, in Linux, it does. In Ubuntu, for example, you can install anything from lightweight solitaire games to full-blown applications like Blender, Scribus, and OpenOffice.org.
Even better, Ubuntu constantly monitors all your programs for updates. Windows only does this for Windows itself and Microsoft Office. For everything else, you have to go through the individual program.
Free program AppSnap adds Linux-like install and update functionality to Windows. It isn’t automatic; you still have to start up AppSnap once in a while. But it updates most of the software you have on your system and allows you to install a variety of free software from AppSnap. If you use any free software, give AppSnap a try.
Edit: After installing and playing with AppSnap, I cannot recommend it. It managed to uninstall several programs, but did not upgrade any, leaving me wasting time downloading and reinstalling applications myself. The rest just did not work at all, and I was left with a window full of “install failed” messages. This is a great idea, but it does not seem ready for prime time yet.