Package management systems do not apply unless the package in question is provided by the distributor. For things such as PCSX2, FS2Open, and every other non-major application, you're on your own. Yum/Portage/Aptget are nice, but this still doesn't excuse the problem behind common libraries. For Windows you need DCOM, Visual Studio/.NET runtime, GTK2+, and DirectX. There is nothing more than that which is needed for almost every program out there, unless they are crappy linux ports. I see no equivalent to this kind of system in any linux distro I've ever used, and I have Ubuntu 7.04 and OpenSuSE 10.2 installed on my system right now.
Also, what's with the lack of API layers in Linux? When I want to install a program from the internet, I want to install it and be done with it. However, with linux, I install it, fix incorrect settings, screw around with permissions, and then clean the nasty mess it left behind. Ick. Why can't there be a commonly adopted universal binary system? InstallShield, msi, and Wise installer are all very decent ways to setup applications, why is none of this on linux? I don't want to download a package, ./configure and hope it works, make install and hope that works, and finally hope the installed product works. It's a lot of crap I dont want to deal with.
EDIT: And I don't mean proprietary things like RPM either. That system sucks just as bad.