You can't run EXE's or DMG's on Linux, and to install stuff you gotta (mostly) do it by commands in terminal.

Basically. Don't be scared of computing, and terminals, and non-gui applications if you want to switch to Linux. Linux is very... Weird. I've been a user of all three operating systems, I've had OSX for a couple years, and I've been a Windows user for about 6-7. I used a lil' bit of Linux a while back, and I have to say I despised it a lot more than the other two. It's free and advanced, but semi-hard/complicated.

Linux is a kernel, not an OS. It's actually a very simple thing to use, but just takes a genius to understand the simplicity.

Slight paradox there Linux. xD

"Linux is simple, but required a genius to understand that simplicity".
I swear Ubuntu is classed more as a os than a kernel; I believe some distros are more classed as kernels.

Ubuntu, Kali, Linux Mint etc are operating systems indeed. But, the kernel they run off of is Linux.