Well, I guess Canonical has taken the idea of "minimum virtual machine" to the extreme. The 9.10 version of Ubuntu Server JeOS (F4 + select "Minimal Virtual Machine" at install time) apparently doesn't include dig in the default installed packages.
I was shocked when my new virtual machine was having problems with connecting to the Ubuntu repositories and I couldn't do a dig as a test:
-bash: dig: command not found
I've never seen a Linux distro without dig installed by default, but apparently it's not as necessary to others as I would have thought..
Anyway, the package comes with the dnsutils package:
sudo apt-get install dnsutils