Personally, I prefer to compile most things from source, that way I can choose the options of it I want so it is most compatible with my current system. Installing random libraries because they weren't included isn't that big of a deal MOST of the time. I must say, I've had some issues installing from source, but normally it's nothing that a few minutes of googling doesn't solve.
I think the biggest issue I've ever had was installing the Dsniff package on CentOS, which took editing some of the files so it would compile.
IMO, if you don't learn to compile things from source for yourself, you may as well be using windows and installing software off the shelf, because you're not really learning anything. I think I've learned more about Linux installing things myself instead of packages than doing anything else.