Why does Ubuntu eat more power than Windows?

All the hardware in your computer has drivers specifically designed for Windows and not for Linux.

This happens for obvious reasons: Windows has 90% market share and Linux less than 1%. It's hard to convince a hardware manufacture to spend money developing something for less than 1% of the market.

The consequence is that a lot of the drivers that Linux uses are "second grade" drivers, some reverse engineered, some developed from scratch by the community and so on. They don't have the same performance as the driver made by the hardware manufacture.

So there's a distinct possibility that even after dimming the LCD light, reducing the CPU speed, as suggested by the user laurent-rpnet, your Ubuntu will still draw more power than windows.

It doesn't really matter all that much which distribution you are running (it matters a bit CPU wise); Linux' drivers are not power optimized in the degree they have been on Windows (or OS X for that matter). Actually, one of the main focus points for Windows Vista/7 was power optimization, and they really succeeded in that matter (of course the manufacturer produced drivers needed to be updated as well, so sometimes you actually used more power after upgrading).

The money in Linux has always been in BIG IRON (as in server platform), and the drivers have thus mainly focused on performance. Power efficiency is mainly a thing of concern to end-users and it simply does not pay (for hardware producers) to put a lot of money into this market.

For comparison I could get a maximum of 1 h 50 m when running Ubuntu 8.04 on Acer Travelmate 6292 (screen dimmed way down), whereas I could just squeeze out close to four hours on Windows Vista. That was with power optimized drivers and power management software from Acer. If just using the built in software from Windows I lost close to an hour of battery time.

This really is not a new thing and it has not improved in a big way in the last few years either. Some Google searches can bring you up to speed on the matter.