Iptables are extremely powerful and can be used to do much more than virtually all Windows firewalls, There are also numerous GUI-frontends to make configuration easy for those unfamiliar with the command line. To get started with iptables head over to the netfilter
Here's a few front-ends and an Application firewall, there are others.GufwFirestarterLeopard FlowerFirewall BuilderTurtle Firewall Project
I think it's also worth pointing out the fundamental differences between Windows and linux, at least when considering controls for network application traffic. With Windows, software can and does come form many sources, not all of which may be considered completely trustworthy. There's also an inherent paranoia found in Windows users that the software they use, may be/is spying on them.
With linux, the majority of software one tends to install, originates in secure, verified repositories and those choosing to install from these locations, for the most part, consider the software trustworthy. There's also a significantly different security architecture between the two operating systems, which again, for the most part, makes Windows inherently less secure and thus require more controls.