There could be hundreds of reasons. Do you have proprietary drivers installed for an AMD or NVIDIA card? How fast does your drive benchmark? I could go on.
As for the "Windows transfers files faster" issue, the NTFS-3G driver for Linux is forgetstuff horrible and can only transfer up to 40MB/s irregardless of hardware. Use vFAT for a storage partition and use that to transfer files between Linux and Windows, it works much better in my experience.
Either way, I couldn't recommend Ubuntu to anyone at all. My experience with it is less than satisfactory. Mandriva and Fedora seem to be much better "user-friendly" Linux distros.
I had no proprietary drivers installed at the time. The drive is a caviar blue, so it probably bm's decently although not spectacularly. Everyone else whom I've talked to who has installed a ubuntu partition (I guess it could be the fault of ubuntu specifically) has had experiences similar to mine regardless of hardware. Thanks for the tip about vFAT, will look that up