No need to if your Windows DVD happen to have all drivers either I guess, or atleast not many times.
Speaking as an Ubuntu user, the drivers are included "out of the box." You may have to enable restricted (ie, non-OSS) drivers, but this takes all of about five seconds via a convenient graphical interface.
Do you still have to rebuild/reinstall modules for Linux for each version of the kernel? That's always awesome
Atleast you don't have to reinstall every driver in Windows each time you've ran Windows update
Not only do I not have to do that in Ubuntu when I run an update, I often don't even have to do it when I'm upgrading to the newest version, because in Ubuntu language, "upgrade" actually means upgrade, not "delete old version and install new one." I can even keep using the computer while it's doing it.
I use XP and Vista on a regular basis and like them just fine (yes, even Vista), but it has to be said that the objections raised in the parent comment haven't been true for years.