Updating your operating system these days is just a fact of life. There are always bugs to fix, security holes to patch and little new features (and sometimes big features, think XP SP2) to push down to users. Both Windows and Ubuntu have update mechanisms in place so users don't have to periodically check and install updates manually. I think if automatic updates didn't exist, most users would never update their systems.
Before Windows had good updates they also had the Code Red worm that affected IIS in July 2001 and Linux had the OpenSSL Slapper worm in September 2002. My home Linux web server got hit by Slapper. The system did have an update feature (the Red Hat Network!) but it was not setup to be automatic. I am not sure why I even had SSL running and open to the world since I didn't use it but that is another story. (If you want to know a little more history about major computer viruses and worms, this Wikipedia page is interesting and helpful: Timeline of notable computer viruses and worms.)
Back to my point - Ubuntu's update manager works well and is not annoying but Windows update makes me want to punch a hole in the wall. I have both Ubuntu and Windows configured to check for updates periodically. Windows checks on whatever schedule Microsoft decided was good and my Ubuntu boxes check daily as I decided was good. I have both configured to go ahead and download updates and let me know when they are ready to be applied.
Now we get to the real annoying part. Most of the time Windows updates require a system restart! Why? The only time Ubuntu has ever wanted to restart after installing updates was when a new kernel was installed. What is worse is if you have Windows update configured to automatically install updates it will also automatically restart your system! I don't know about you but I leave a ton of applications up and running all the time. I don't want to come to my computer in the morning and find it freshly restarted with all my applications closed and data lost.
If Windows is configured like mine to ask you to install updates, it will add a little yellow shield in the system tray and occasionally give you a pop up. This is the same way users are notified about updates on Ubuntu.
To get around the hated "Restart Now" dialog in Windows, I just wait to update when I am about to restart for some other reason. This means updates on my system take longer before they get installed making my system more insecure. It is also getting me in a bad habit and I find that I don't always update Linux when I see that there are new updates.
One final point. Ubuntu also has a great advantage of being able to update your applications as well as the operating system. In Windows, updates don't exist for all those 3rd party applications you installed. You have to manually go out and download an update for each an every program. That assumes you know there are security or bug fix updates to be installed. With Ubuntu, update manager knows about all your applications and updates them along with the OS. Nice!