Solaris is the only *nix I am aware of that actually update its running kernel without a reboot, but even Sun recommends applying those patches in single user mode with a reboot. There have been a few patches that have caused issues when applied without the safer procedure.
Most of the commercial Unices: AIX, HP-UX, Irix, SunOS (pre-Solaris), Tru64/Digital Unix/OSF/Ultrix (and conservative Solaris admins) apply kernel patches in single user mode (the fastest way to get into with out problems is to generally reboot) and then a second reboot after the patch(es) are applied. One can replace the Linux kernel while the system is running, but it doesn't take effect until a reboot.
Where *nix is much better is everything other than the kernel. One never (I should say almost there may be one or two evil programs out there) needs to reboot a *nix box when installing an application. Daemons (Services) can be upgraded and then restarted. If a daemon crashes, one just restarts it. In addition, programs run as normal users should not be able to take the system with it. If mozilla crashes on a Unix box it should never take the machine down with it (I have seen Web browsers crash Windows and pre X Macs).
Once you start running X-Windows though, all bets are off as X-Windows runs as root and especially with games I have seen it take the whole system down. Under the commercial Unices sometimes X-Windows locks up but not the whole machine. If one knows the hotkey one can restart X-Windows without rebooting, but one still generally loses everything one was working on.