There are a few reasons I don't use Linux on my main box right now, and this hits the biggest of them.
Anyone who has ever tried to install a program not in the repository will know what a pain it can be. Getting stuck in dependency hell is still a very real problem, and while repositories help they are no substitute to fixing the problem.
In Windows, if you get an installer you have a reasonable expectation of being able to run it. Sometimes you hit dependencies, but not often, and they're generally the same for most programs.
Another big thing is having different package managers. What to do when a developer distributes a .rpm but not a .deb, or the other way around?
And I won't even start bitching about the 3D Graphics support...
Still, Windows isn't perfect, and Linux is far better in many ways. Having a software repository is awesome, and saves a lot of time searching for programs. However, until these problems are addressed, many developers will continue to develop only for Windows.
(I do use Linux on a regular basis, and find it does an awesome job for many things. Just not everything)