That may be true for Windows, but in Ubuntu you do that all the time. Well, except for the "and run" part. It looks like this:
Originally Posted by mishathegoat
apt-get automatically looks up the dependencies for <package>, including any runtime shared libraries it uses, and installs them for you. That's the primary advantage of using package managers.
sudo apt-get install <package>
Even in Windows, many application installers automatically download and install some dependencies if they're not already available. DirectX comes to mind, although that's a terrible example because DirectX lives in its own little world of DLL hell.
I'd advise going the dynamic (shared-object) route unless you have a compelling reason to link statically.