All I can remember is in Slackware it asks me what time zone I'm in (East Coast US, it used require New York) and that's it. Ubuntu assumes the CMOS clock is set to UTC and then I have to go hunting some config file to change it.

You edit the config file once, when you set your timezone and locale. Usually the distro's installer asks you about these and you never have to touch any config files at all, unless you want to deviate from the defaults.

In my case, I usually run through the debian installer to get just a bare system, and then I install individual components as needed - I find this much easier than clicking through obscure options in the installer and then wonder what the hell I just installed. This, obviously, means that only the base locales will be installed, so the default is probably either "C" or "en_US.UTF-8". The latter is OK generally, but I want to change the date format to European-style (dd-mm-yyyy) because I can't seem to get used to US style (mm/dd/yyyy). AFAIK, none of the standard locales offer this combination, but fortunately, by adjusting two lines in my shell RC, I can get exactly what I want: my toolbar now reports the date as "Wed 01-02-2012" (US locale would give me "Wed 02/01/2012").

I never have to touch DST settings though, ever. If I were to travel to a different timezone, I'd just set that and everything would be fine (I guess, never tried it in practice ;-)

It was tongue-in-cheek, but there is a truth there: you don't like config files. That's fair enough, and there probably is a market for having dedicated programs that edit said config files without making it obvious (ie, something other than a text editor).

That's beside the point though. Having a different personal preference doesn't mean that something is broken, just that maybe, just maybe, it's not for you.
I would vastly prefer being able to configure Windows by editing a text file. Conclusion: Windows is probably not what I want. Indeed, it isn't. So I use something else.