Understanding Linux executable formats and software distribution packages

I am having trouble understanding Linux executable formats and software distribution packages. There are so many different distributions of Linux itself, and it seems like every software package has been compiled separately for each distro. Why is this? I understand that some "packages" are made to install on different distros, but is the executable format for the software different? Also, why do many Linux users prefer the command prompt versions of applications vs GUI versions? I can understand the need for small footprints, but even GUI apps can have small footprints if they're coded right.