This has been a problem I've run into a lot as a Linux novice, and newly converted user to Ubuntu 7.04.
I really wish that someone would make dual/multi display configuration much more intuitive. In Windows even the n00best of n00bs can easily configure a dual monitor setup. In the various Linux flavors I've tried it is not that simple. Seems like the system display configuration utility and the video drivers I install for nVidia/ATI cards just want to fight each other over who gets to control that second monitor, instead of just working like it does in Windows.
Like I said, total novice here so I don't know if its an issue with the distro's themselves, or the third party drivers by nVidia/ATI, all I know is it is annoying, and one of the major caveats preventing me from totally embracing the penguin.