If you're just getting started, I recommend using Yum. It's simple, it's easy, it resolves dependencies for you and makes installation easy for most applications. There are plenty of tutorials out there for it, and plenty of repositories. Heck, you can even upgrade your kernel in the most simple way using Yum, and it'll even leave your old kernel intact.
In some cases though, compiling from source code is absolutely necessary. Make sure you have all dependencies that the program will require, to save headaches. Usually source code will come with installation instructions. Might want to read those first
And yes, there are RPMs, but once again, you have to worry about dependencies. Otherwise you'll get all sorts of weird errors. If yum doesn't work, use RPM. If RPM doesn't work, use source. Work your way down from easiest to hardest, and you'll be fine most of the time