I didn't know much about it either, but Linode has some great step-by-step guides. I was at Slicehost before Linode, and they also have great guides, so you can use the two to get through it. 99% of it is all automated, with no manual compiling at all. It's literally just calling:
sudo apt-get apache2 php5-cli php5-cgi php5-common mysql mysql-dev
And bam, apache, php and mysql are all installed, and you just have to go through the same configurations as windows. Obviously, you need to setup SSH/firewall, etc, but that's all covered in the guides and it's too difficult to do.