That entirely depends on the distro you use. Any "mainstream" distro should already have power saving tools set up properly. Of course if you use something more DIY like Arch you will have to set those up yourself. You can't just group every distro together as "Linux" when you will get a different experience on each one.

> I want to see Linux automatically scale the CPU power and frequency based on the load put on it like Windows does: idles at 600MHz when doing nothing, click on the Firefox tab and it shoots up to 3,6GHz, then back down to 800MHz. That's what any sane OS should do out of the box, not have you install and fiddle with a bunch of tools and maybe still not be as good.

Unless you are using the performance or powersave governors (except with intel-pstate active) that's already what it should be doing. Once again you shouldn't have to tinker with that stuff on any sane distro.