For a while now Linux has had built in ACPI power governors, and they seem to work across all Pentium and AMD processors. The ondemand governor is default and automatically bursts to 100% Frequency and tries to quickly scale back to the minimum frequency to save power.
Of course you can also control and select the governors (ondemand, conservative, user set frequency, and performance)
I can even patch the kernel to undervolt my cpu per frequency to really squeeze out extra battery life.
AFAIK, ACPI power states are well supported on modern processors (everything ACPI related works on my pentium-m).
But of course all of that functionality is built into Vista and Windows 7. The ASUS utility just provides a different interface for it, and perhaps choses better defaults for their own hardware.
Anandtech has done tests and found using Windows 7's "battery mode" does improve battery life by mostly capping the CPU frequency.
Where Linux falls short is controlling the power of other systems, like wireless, usb, and graphics cards. Most of the power saving features are just not implemented for Linux, yet.
OS X also does a very good job getting extended battery life compared to Windows 7 on the same hardware. Of course apple gets to control all the hardware and make sure the power systems work. Microsoft does really well for how many platforms it support. Linux is getting there.