No worries, it's common in a server environment to have no windowing system installed. A few reasons why:
Resource consumption - depending on the usage of the server, you typically want most of the resources to be utilized by the program serving clients, and not running the server itself.
Security - the less you have installed, the less facets of your server are open to attack.
among others you may want to consider stability (if using up-to-date windowing software), faster boot times (can typically be modified in inittab though to avoid GUI), and PEBKAC problems. On some of the GUI logon screens you'll notice options such as shutdown, restart, change window manager and so on. With a text-based interface, a passerby will have a hard time messing up the system if the tower is locked away. There isn't much you can do with a black login prompt. With the GUI on the other hand, people can easily shut the system off. On Linux, you'll notice the majority of administration is faster in the command line, assuming you know the basic commands as well.
Some valuable links:
The Official Ubuntu Server Guide (10.4)
The Linux Documentation Project
The first one is your companion for administering Ubuntu 10.4 from the command line. TLDP is the classic reference for all things Linux. I'd stick with the server guide initially as TLDP has resources pertaining to Redhat-based distributions as well, which may confuse you at first.