There’s a very insightful article on the NX bit on wikipedia.org explaining the differences of the approaches of Exec-shield, PaX, W^X and DEP:
AFAIK, the entry for DEP is not quite correct (“Emulation: No”) as DEP can emulate the NX bit on CPUs that don’t support it.
Hint: If you plan to buy a new computer, it’s probably wise to make sure it has a CPU supporting the NX bit (e.g. AMD64) as both Linux 2.6.8+ and Windows XP SP2+ can now take advantage of it.