If you are building versions of Mono prior to 2.8, you will need to obtain the Mono dependencies first: glib 2.x and pkg-config. With Mono 2.8 it is no longer necessary to have either one of those.
Building From Packages
This applies to both the officially released packages, as well as the daily tarball packages.
Unpack the Mono runtime distribution:
tar xzvf mono-X.XX.tar.gz; cd mono-X.XX
Then configure, compile and install:
./configure --prefix=/usr/local; make; make install
This will give you a runtime, C# compiler and runtime libraries, where /usr/local is the prefix where Mono will be installed. You can change this to suit your needs.
If you are not using GNU/Linux system (such as Solaris or BSD variants), make sure to use GNU make.