Err. First of all, if you want to run Windows applications you'll need emulation environment, such as Wine, though it's not the only one around. Linux (Ubuntu being only a distribution of Linux, a vendor of sorts) doesn't run those natively for it's a totally different environment.
In my opinion it's just totally a different experience, although some distributions (like Xandros) trying to emulate Windows interface as closely as possible, the system itself at its core is quite different.
Ubuntu isn't the only Linux distribution, there are many others each own with various features and usage. Personally I use Sourcemage, but I would not recommend it to anyone who isn't good with Linux around, it's a source-based distribution (compiling kernel and applications from sources).
Check this site: http://distrowatch.com/, as you can see there are quite a lot to pick from and try.
