Though some may call it introducing a security risk, being able to execute administrator commands in Ubuntu using SUDO and GKSU by default is handy. It’s not the only Linux distribution with the facility though because the /etc/sudoers file is found in Debian and I plan to have a look into Fedora. The thing that is needs to be done is to add the following line to the aforementioned file (you will need to do this as root):
[your user name] ALL=(ALL) ALL
One that is done, you are all set. Just make sure that you’re using a secure password though and removing the SUDO/GKSU permissions is as simple as reversing the change.
Update on 2011-12-03: The exact same can be done for both Arch Linux and Fedora, The same file locations apply too.