I've used windows for 10-15 years and I can't remember having any problem with an update breaking anything.
I've been using ubuntu for about a year now and I've had two or three minor problems with updates (the most recent I recall was with the sound getting messed up). However, those got fixed with the next update (which didn't take more than a few days). I also had a few problems with software incompatibilities (specially with compiz+multiple monitors), and those didn't get fixed up to today, afaik.
On the other hand, I've found ubuntu's forums to be very responsive, and I've seen genuine interest in getting bugs fixed from the bugtracker. Unfortunately, IMO there's a lack of manpower and will to fix the annoying bugs, even if they look as simple fixes.
In conclusion, I think with Windows you get other kind of guarantees. Although linux will get you the cutting-edge, up-to-date technology with constant support in some stuff, it'll only be on the stuff that the developers find interesting to fix, since most don't think from a user point of view.
@Deozaan: yep, the most recent version of Ubuntu moved to a new bootloader (or was it just an update of grub? can't remember) and it also broke my instalation, I had to reinstall. AFAIK, that problem was fixed with an update launched the following day, though.