My preference is to install an application into my Linux machine available from the distros package repositories. This way, I could just use, "apt-get" or "yum".
But there will come a time that your selected Linux distro does not have the application you need in its package repositories. If you need it, then the only way is to install it from its source code.
I still remember back in early 2000 when I started using Linux - the first release of Fedora Core. Installation was a pain, not to mention that it does not support most hardware like my USB modem. Linux was only then for the geeks and enthusiasts. I am not a geek but I am an enthusiast.
Today, most applications needed by most users are available in binary form and can be easily installed using their distro's application manager. However, there are times that only the source code is available and you really need or want the apps, then compile it yourself.
Installing an application from its source code is easy. Like when I needed to install HTMLDOC for my Kloxo VPS, I use thisas I can't find the application in binary form supported by Centos 5.