Yeah, for instance Macs at the moment use IBM PowerPC based processor chips which use a completly different archietecture so EXE's for Windows PC's can't work (everything is processed by the processor) which makes macs so different, though they are swithching to Intel, so expect the compatability issue to change suit, because EXE's would have the capability to work then for Windows PC's
Linux though I haven't tried it, is supposed to be very good, though does take a bit of tinkering and learning to master.