I've put a little tutorial in the KDE userbase wiki about MIDI on Linux because Linux users have very little help setting up their systems for MIDI usage.
First, I would like to apologize for a joke, that was not my original idea. I've found it at the renaissance music web site of Alain Naigeon. He says that MP3 is like fast food, WAV is tasting the meal, and MIDI is cooking the recipe. He also says that playing a MIDI file is not reproducing a performance, it's a new performance. I agree, but on the other hand each MIDI file is a recording of a musical performance. Even more than a MP3 or a CD, because it contains no sound, only the musician actions. For instance, the folks at the Minnesota International Piano e-Competition distribute MIDI files of the competitors' performances, recorded in Yamaha Disklavier concert grand pianos, as standard MIDI files. And you can play these files in KMid2. Try this one: Igor Stravinsky's, Petrouchka played by Alessandro Taverna, first prize winner of this year's contest.
Returning to the subject. I would like to show you a screenshot of the about dialog from the software synth included (and ready to be used out of the box) in all MS Windows operating systems:
The Roland Sound Canvas samples are also included in Mac OSX. In both cases it is a small sound font file in DLS format. It is not the full and great Roland Virtual Sound Canvas, but a light version. Anyway, the point is that both software manufacturers provide resources to the users wanting MIDI support out of the box. If you download and install VMPK in any Windows version, you can start playing and getting sound at once without having to configure anything at all, and without reading a single word of system documentation.
What is the situation on Linux? There are MIDI applications. There are many operating system MIDI drivers (ALSA). Some software synths and free SoundFonts are also available. What is missing? Distributions gathering all the required pieces, putting them together and easing the task of setting up Linux for MIDI usage out of the box. It is their job, after all.