On linux I usually download fpc and use the install script that is inside the archive.
Make sure you have binutils (or similar) installed.
Then I download the Lazarus sources (easiest done using svn).
I have them in ~/devel/lazarus
Then simply do (assuming this folder layout)
cd ~/devel/lazarus
make bigide OPT="-gl"
Then download the sources for the fpc version you use and unpack them somewhere.
Lazarus needs to know where these are (it'll ask you).
I prefer having Lazarus in my home directory, so I have write access to the entire source.
If you don't need that, you can put is somewhere "system wide".
Bart