The prefered way is going to be net install soon. Bittorrent was created to move linux install cdroms around, but it's quickly becomming pointless.
For instance Debian I do a net install, and once your finished then your OS remembers your settings and it makes installing and upgrading over the internet a peice of cake.
Also keep in mind that when you install Windows you install only the core OS stuff. Kernel, drivers, some library files, some simple editing apps and such.
Full linux install can include, the core os + 2-3 full office productivity suites, several window managers, gnome and kde desktop enviroments, full developement tools + couple IDEs, multiple kernels, many small games, media players, numerious networking services, media editing tools, and then numerious shells and stuff like that. And then not only that, but also the source code for all those apps.
Then the amount of icons and images, backgrounds, and audio files for eye/ear candy have increased.
Hell if you take Debian unstable you probably have nearly 11 cdroms full of software in compressed form nowadays.