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No, theoretically. But if not done correctly, you may lose sound, hardware support, heck, you may not even be able to boot again...
Though, unless you need to add support for a specific hardware that you cannot use, there's _no_ need to compile a new kernel. It won't make your PC any faster or any more secure. If you want speed, disable unnecessary services, if you want security, make sure to configure your firewall nicely.
Just recompile the kernel if you need to add support to some piece of hardware or for learning purposes.
Now wait until somebody bashes me for saying that, but I really think that recompiling the kernel is pretty useless, in most cases. However, look into this thread if you still want to go ahead and do it:
Thanks for putting my fears to rest. I have a SATA hard drive, which is unsupported by my kernel. I have long hope to one day try to recompile a new kernel. So, yes, I want to do this as both a learning and a productive experience. It's just that I had such a "learning" experience just getting it to work the first time, I was worried.
Chances are, I'll do something to ruin everything anyway, but at least I can get back to where I am now, and know what not to do again.
One more thing, I (I know this may be a sin, but I know no other way) "taint my kernel" with an intel driver module for my modem. Shortly, this modem will no longer be nessecary, but support for it will still be appreciated because my machine moves around a lot with me, and not always within range of broadband services. Will I have to replace this module in the file I modified to make it load at boot time? It didn't look like changing the kernel would change this, but forgive me I'm new to this.
Well, I'm not having a problem with the modem, it's working great. That wasn't my question at all. If you'd like for me to add mine to your list of linmodems I shall, but as the user that helped with setting it up pointed out to me, the chipset is already on most HCLs.