Linux equivalent of Windows Registry
Linux applications typically store their config in a text-based file specific to the application. Machine specific configs are typically stored in the /etc directory tree. User specific settings are typically in the users' home directory and often in "hidden" files that start with a "." (use 'ls -a' to see them).
/proc for kernel related stuff
/etc for software related stuff
Gnome config can be considered similar to Windows Registry as well.
But since Linux and Windows core philosophies are diametrically different (Linux ~ open and compatible, Windows ~ closed and obstructive), there is no direct parallel.
Edit: for those who disagree, here is a bit of history for you: http://www.faqs.org/docs/artu/ (awesome reading, no matter what your background is)
System wide settings are located in files in
/etc, per user settings are typically located as hidden files (start w/ a .) in the users home directory. For more information about a specific program see it's man page -
man [program name].