Yeah, this is incredibly annoying on Windows.
If they're going to offer the option to restart later, they should actually accept that you're going to deal with it and just leave you alone! An amazingly brain-damaged usability foul-up.
OS X's software update offers a bit more control.
- It will never install updates without your permission
- You will always be told what the update is going to affect
- You'll be told exactly which updates will a restart of your Mac. None of this 'your computer MAY need to be restarted' that Windows Update vaguely states
- You can easily install any sub-set of available updates, and leave others to install later. Without having to choose any 'advanced' mode.
One thing to bear in mind is that Software Update will not offer you the option to NOT restart if one of your installed updates requires it. You'll be presented with options to shut down or restart immediately.
This is mitigated by the fact that those updates which require a restart are clearly flagged before you choose to install them. Far fewer updates on OS X require a reboot -- mainly just updates to OS X itself or QuickTime.
If you've installed an update that requires a restart and you've got the 'shut down/reboot' option screen, there's a couple of ways to remove it without restarting. First, with Software Update the frontmost app, just use OS X's usual 'hide application' option: just hit Command+H.
The other is to Option-Click the Software Update dock icon, and choose Force Quit. Don't worry about force quitting... at that point, all the actual updating is done.
Bear in mind though that depending on the kind of update, things might act a little odd until the machine's been restarted. In the past, I've installed an update to OS X, then quit Safari and it's refused to open until a reboot.