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All Linux distributions are the same and yet different. The way they work is practically the same, but the tools they offer, be it graphical or not, vary immensely.
Take for example Mandrake. It comes with MCC (Mandrake Control Center). It's a very nice tool for configuring services or even installing packages. It also has urpmi, which is a nice tool to install dependencies automatically.
SuSE, on the other hand, has YaST, which although has the same purpose then MCC, is totally different regarding it's user interface.
They are both rpm's based distribution. Slackware has a different approach, it's a source based distribution and do not support .rpms (but can be installed using the forcing parameters). It also avoids fancy tools as YaST or MCC, but has few ones, command line based, such as "mouseconfig".
Some distributions also support better one Desktop Environment then another. Redhat's family, for example, uses Gnome by default, while SuSE and Mandrake are die-hards KDE-based. But nothing prevent you to install either of them.
It can also be differences into optimization and system requirements for every distribution. Slackware 9.0, for example, supports 386 machines, while Mandrake and Fedora are 586 and higher (but could work on a 486 with a light weight desktop, but not really recommended).
Some distributions also choose custom kernel, custom paths for installed applications and other little tweaks. As I said, they are all the different and all the same to some extend. Only when you've worked enough time with them you will notice the differences. I found weird that you did not notice any difference from Slackware to Mandrake though, regarding both speed (Slackware being faster) and tools (Mandrake having plenty).
Nah, not really. Just think that Linux is not an operating system, it's just a kernel. Distributions as Mandrake and SuSe (and every other distribution) is an Operating System as a hole, with the same base (the kernel). So it's normal for them to share similarities and yet be different, since they are not the same Operating System.
Look at FreeBSD. It's also similar to Linux, but has nothing to do with it, not even the kernel... but both are relatives to the same Operating System, Unix.