Ubuntu, as you may already know, is based on Debian GNU/Linux which means that it uses dpkg and apt to manage installed software. Their developers do a great job to provide binary packages for almost every program out there. These packages can be installed really quickly (if you have a broadband Internet connection) and they automatically configure themselves to work flawlessly in your system, including any dependencies they may need.
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Given that the software is packaged explicitly for Ubuntu (or Debian), each package morphs into the system seamlessly, placing each file (binaries, documentation, libraries, etc.) where it belongs. On a somewhat related note, the problem of rebuilding kernels and/or drivers is mostly gone: the default kernel comes very modularized and some proprietary drivers are ready to be installed from the repository (such as the NVIDIA one).
Unfortunately, you are screwed if some application you want to install is not explicitly packaged for the system (not only it needs to be compiled for Linux; it needs to be "Ubuntu-aware"). These applications are on their own in providing an installer and instructions on how to use them, not to mention that they may not work at all in the system due to ABI problems. I installed the Linux version of Doom 3 yesterday and I can't conceive an end user following the process. The same goes for, e.g., JRE/JDK versions prior to 1.5, which are not packaged due to license restrictions (as far as I know). We will talk some more about this in a future post when we compare the development platform of each system.
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As you can see both systems are very different when it comes to software installation. If all the software you need is on the Ubuntu repositories, it probably beats Mac OS X in this area. But this won't always be the case, specially for commercial software, and in those situations it can be much worse than any other system. I'm not sure which method I like most; each one has its own pros and cons as described above.