Or put something into /etc/profile.d and run at every shell startup, or put something into /etc/ld.so.conf.d and inject code into every process started on the system, or put something into /etc/init.d and run at every boot... (continue ad infinitum)

If you let code overwrite the files that make up your system configuration, you're going to have a Bad Time on any OS; this isn't somehow specific to Windows and the registry.

    /etc/inittab

You could probably replace the executables for the ttys, potentially having a keylogger for every userinput on the terminal?