I know on linux they do not have .exe files, instead of that, some distributions like ubuntu have .deb files. Are .deb binary files? What do they contain?
.deb is the debian software package format. It is used by debian and debian based distributions like ubuntu to provide and install software.
It contains two tar archives. One archive holds control information and the other the binaries of the software.
So .deb files contain binary files but those are not equivalent to the general windows .exe files.
There are similar files for other distributions for example .rpm for redhat.