One of the nice things about Linux is the ability to install apps (and dependencies) very easily using apt-get or similar. Windows users have been missing a similar tool for a long time. Never fear, the Scottish Alt.Net group have written Hornget, a tool for installing open source .NET projects.
Quite a few projects are supported, though most are of interest only to programmers. It would be nice to see a lot more user oriented tools like games and the like.
Update June 2013: Chocolatey brings apt-get type installer to Microsoft Windows. Seems to be gaining some traction too.