Although I agree with the spirit of Seraph's post, I recently installed SFML with C++ on Linux and I didn't have any of those problems. The simplest Ubuntu install puts the header files and library files in the standard places, and I just need to add some -lsfml-blah options to my compile command, but I just got them from the tutorial on the SFML website and it worked fine on the first attempt.
The problem I described is what happens when you work with Visual Studio 2010. SFML is shipped in binary form for 2008 only, and the two binary formats are not compatible, so you need to recompile SFML if you want to using VS2010. If you use Visual Studio 2008, the experience is flawless. That said, it's when things dont go perfectly smooth, or when the tutorial misses a step, that the newbie is now starting their descent down a deep dark bottomless pit of hell.
I didn't mean it as a shot at SFML, it's just a real world example that comes to mind. Linux often actually makes the build process a much easier prospect in many cases, until it breaks or you end up in dependency hell that is. There are different problems too on different platforms. XCode, well, its just awful... but even trying to figure out how to create a C++ application is a bit of a nightmare ( command line utility anyone? ) and Apple has this nasty habit of moving frameworks and library files around, or just getting rid of them completely between OS versions and patches. Another issue that comes to mind is CodeBlocks ships with SFML templates, that simply dont work. Plus it ships (on Windows ) with a version of GCC that simply isn't compatible with SFML at all, requiring you to replace your compilier completely if you go that route.
In a nutshell, the overly complicated build process is going to bite you, in some way, shape or form, regardless to what platform you call home.