As zhjim said, most mainstream distros will use package managers such as apt, yum etc. If you start to delve into the more "advanced" (for want of a better word) distros then package management becomes a different beast. Distros such as Arch and Gentoo build packages from source and install, and at the bleeding edge there's the likes of Linux From Scratch, which has no package management whatsoever. It's up to you to find the sources and rebuild packages when you want to update them.
If you are considering a distro and want more specific guidance then you will need to ask for distro specific advice for more information.