There are two very good installers for Linux - the Debian Package Manager and the RPM (nee Red Hat) Package Manager. Like anything, including Lazarus, they do have a learning curve associated with them but compared with Windows Installer, they are easy...
It is important to be able to use them because if you are going to check dependencies on install and set all permissions correctly, etc, you need to use the package manager appropriate for your distribution (e.g. deb for Ubuntu, rpm for Fedora).
In practice both are really just extensions of GNU autotools (autoconf, make, etc) that build a project and install them into a virtual location and then package up the result into an archive that can be extracted and installed straight on to your target system.
Having used Installshield under Windows and the more powerful Wix before coming to debs and rpms, you wonder why MS made such a mountain out of installation. Once you understand what is going on, they really are easy to use.