Some versions of Windows often hide file extensions by default. One method to make them visible is to open "My Computer" ... choose "Folder Options," select the "View" tab and then unclick "Hide extensions for known file types." Microsoft removed these Extensions to simplify the user experience.
One important use of file extensions in Windows is that they act as meta-data defining the contents of the file. For example .EXE files are executables, and renaming anything to a .EXE will cause Windows to attempt to execute it, even if it's not actually executable code. Under UNIX the ability to execute files is based on additional security meta-data (read/write/execute permissions).
Files that UNIX considers "system" files, it makes less visible by adding a "." in front of the file such as .bash_history or .xinitrc. Command-line users must type "ls -a" to see these files.