In my opinion most important reason is that most of the programs on Windows are registry dependent. Registry is arguably a well organized storage, however it is not known to be a very efficient one. When you first install Windows, registry size is small and look up operations are inexpensive; however as you install more and more programs registry gets larger and harder to manage.

Another factor is disk fragmentation. NTFS and FAT are very notorious for their inability to prevent fragmentation. On the other hand Linux file systems, especially ext3 (I do not have any experience in reiserFS or other alternatives) is quite resilient to fragmentation.

A short primer on fragmentation

What is fragmentation? This article does a good job explaining it, but the gist of it is this: Windows clumps all of its files together in one place on the disk, while Linux spreads them all over the place. That means that, when a file grows on Windows, it runs the risk of being so big that it overlaps the next file's hard disk allocation, and therefore must either be moved or (more likely) fragmented, with the new fragment being stored on a different place on the hard drive. The next time that file is accessed, Windows actually has to make two disk accesses, one for the initial file and a second for the newly created fragment. When a file grows in Linux, on the other hand, there is ofter more than enough space for it, and the OS proceeds happily along. Linux's method does have a small downside on mechanical hard disks, and that is, because the files are spread all over the place, there is a small delay in accessing them over a series of "clumped" files. The e4rat project works rather well for eliminating or reducing some of these delays (ext4 filesystems only), and the incurred overhead is never worse then what Windows experiences from file fragmentation.

Another factor is a small trick that Windows pulls: A Windows installation is never up when it's up. Windows starts a lot of processes after you log in. The distinction between system processes and user processes is a little vague for Windows, especially for the old versions before XP. And a lot of Windows applications are very eager to start background processes and place tray icons. In time a Windows installation begins starting more and more processes at start up. However Linux strictly starts all system processes before you log in. After you log in, only a minimal number of processes are started. Linux also never encouraged using background services related to specific tasks of a specific user, or using tray icons. Last version of the Gnome denies all applications to place tray icons, except a very narrow white-list. So in time a Linux installation still starts only a limited number of processes after the start up.

I'm sure there are other numerous factors that contribute to this phenomenon, these are the major ones that comes to my mind.