I really hate the idea of putting parts of programs in different places. That's one thing that I really hate about using a Ubuntu derivative. Stuff goes to various folders, I can't even decide where a program should be installed, etc.
Actually I think you can tell the ubuntu/debian package manager exactly where you want the files, if you for some reason can't live with the default. The fact that there is a package manager generally means you don't have to bother, and usually the directories used are at least very predictable. There is a file somewhere describing the standard linux directory layout... there is some sort of logic to it all, like no application should ever write to /usr so you can have that read-only if you want to (on a cdrom for instance, or a central remote network drive), system configuration all going to /etc, log files etc to /var, user-specific stuff to /home, applications not installed by package manager in /opt... I'm sure the Windows standard mentioned above is similar, and sounds like a good idea to use in that OS too.
I'd be a bit upset with a game that put my savegames elsewhere, or filled up my home directory with non-personal data.