Well, depending on the distribution you choose and the packages you are using (old programs don't come linked with freetype), it could be true that some things look better in windows.
BUT for the last months, distros are shipping with freetype, which on my opinion, use better fonts than windows.
Again this is a matter of what your eyes are accustomed to. Ten years of windows also made me think like these, but after I spent 2 months using Linux as main desktop (MDK9.1 with freetype ), my eyes prefer linux fonts instead of windows.
Also, this and related matter could be addressed by freedesktop.org , whose work we'll enjoy on future distros maybe shipping Q4/2004 ?
Linux desktop world is in the middle of a twister of improvements and re-thinking, which will lead, believe it, to have the most advanced (and coolest if you let me) desktop by the 2006 I guess.