Few things can be as frustrating to non-expert Linux users as seeing the phrase "... or compile from source packages" on the download page of that killer app to try out (and we know that's often the case for you patient non-Ubuntu users out there). If you're looking for a nuts-and-bolts guide to installing software from those strange-looking Whatever.tar.gz files, Tuxfiles.org has a pretty good one. While the link takes you through the unpacking, compiling, installing, and cleaning up, there's a basic command line method for almost any package (replacing "package" with the appropriate downloaded file name):
# tar xvzf package.tar.gz(or
tar xvjf package.tar.bz2)
# cd package # ./configure # make # make install
I've pulled off a few successful source installations a few times in my year or two spent in Linux, but I wish I'd had this guide bookmarked from the start.