Linux works out of the box.

One of good things said about OS X is that OS X works out of the box. But it doesn't work out of the box on any hardware - it works out of the box, on mac hardware.

I believe same can be just as well said about Linux: It works out of the box... on mac-level hardware :-)

Or, to be exact, Linux generally works out of the box on quality hardware.
If you stay away from obscure cheap crap (or expensive crap), and get distro that is not too fundamentalist about open source and includes closed source drivers (such as mandriva), everything works "out of the box" (as in you put livecd, boot, and voila).
For example, my relatively cheap pc with gigabyte motherboard (Intel p45 chipset), Intel q9300 cpu, NVidia 9800 gt, and Seagate 750gb hard drive worked absolutely perfectly "out of the box". I honestly never had to press reset button (or otherwise force reboot) in 5 months since buying it. (edit: actually I had to press reset once. When hot-disconnecting dvd drive, I pulled at cable and video card crashed. that was scary.)

You wont get that experience with windows. You'll have to google for and install every driver by hand, which feels almost like making your own bloody Linux-from-scratch.
On other hand, of course, if you have obscure motherboard chipset, and a lot of other obscure, crappy hardware, Linux could even fail to boot.

But you may say, what's about all the post-install headache such as entering commands on terminal, editing /etc/wt.f/awful.conf by hand, and so on? If you don't want to do that, just don't! You can live without it, like you would on windows or os x, where you generally do not have well documented, human editable config files. All the important configuration can be done with GUI.