setup-dependencies.sh dies in Ubuntu
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The setup-dependencies shell script doesn't support all recent Ubuntu releases, but this can be bypassed by hardcoding the release as raring. However, there are some inconsistencies: tor depends on libevent and libssl, but neither have installation candidates according to apt. dpkg's default version is "too low" for tor to run. (Likely the fault of using Ubuntu Lucid, but worth mentioning).
It may be worth listing a minimum supported version in the readme.
Since there's a fairly fast release schedule for Ubuntu distros, I'd recommend having a menu option appear in cases where the OS isn't recognized instead of throwing an error. ["Is this an Ubuntu release? [Y/n]"]