My dad runs Windows XP on his new laptop. The OS crashes in horrible ways at least once a week. He's slowly finding workarounds for the crash bugs. Windows instability is certainly not a myth in his case, but he runs different software than you do.
It sounds like your X server froze. X is getting better, but it still freezes under some conditions. Use ctrl-alt-backspace to kill X, dumping you back to a login screen. Or use ctrl-alt-f1 to switch to a virtual console and kill just the offending application from there.
I've had tight loops crash Linux a couple of times. That was with Redhat/Fedora, so it's not Ubuntu specific. I was surprised that that made the system keel over.
The workaround mentioned above did not work for me. The system did not respond to any input, even switching to virtual consoles.
Also I agree that Windows crashes have been much rarer since Win2K.
That being said, Windows's security problems and Microsofts vendor lock-in tactics strongly turn me off of Windows.
(I use Linux about 95% of the time at work and home - Windows for the rest.)
I use Gnome, been programming for years in various languages and never had similar behavior. Maybe it's you or maybe it's Ubuntu. Keep in mind that there is not such thing as one Linux. I can setup a great system based on Linux, and I can also do the opposite. This depends on me and, of course, on the packages I am using. Linux gives you the freedom of doing almost anything with your system, whereas with Windows, it is more unlikely to see different behaviour between, say, two XP SP2 patched systems that are being maintained sanely. They will either both hang or work OK.
My experience has always been that it's very easy to get Linux into a state of memory thrashing which you just can't get out of in any reasonable time frame. I don't know why this is, but it seems like a fundamental problem of Linux' virtual memory management or maybe its I/O subsystem (it's probably not the I/O scheduler, though; the problem is reproducible using any of the three schedulers that are available in the mainline kernel).
I don't think you can get the system to hang hogging just the CPU, though. According to my experience, it's a memory problem.
Anyway, I still think that GNU/Linux is a lot more robust than Windows 98, especially if you install and run lots of applications 
This doesn't apply to Windows NT/XP, of course. The problem with those is a completely different one: Windows has historically been a single-user OS, and because of that, third-party applications often assume that they have the whole system for themselves. A lot of software can't even be installed -- let alone be used -- by a non-administrator. Consequently, of course, almost every home user logs on as Administrator or at least using an account with admin privileges. That's what makes Windows fragile and insecure.
But I can imagine that the behaviour could have been caused by the stupid overcommit policy introduced in Linux a few years back, where applications can keep asking for memory which doesn't exist and then, when the system discovers that there's not enough to go round, it starts killing processes - the "joke" being that it kills the well-behaved ones instead of the rampant ones.
As for the BSOD, I certainly had the misfortune to see it under Windows 2000 and possibly even XP. Meanwhile, the number one system hang culprit for me on Linux-based systems has typically been the video driver.
That said, I agree with most of what you said.
I especially dislike the clumsy history management and command completion of readline... bites me every time.
Try CTRL+ALT+Backspace. That'll kill the X server.
Or try switching to another console, and killing the process from there.
Hmm... could this help? http://www.novell.com/coolsoluti.../qna/
11511.html