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Distribution: RedHat (RHEL, FC, CentOS), openSuSE, Mac OS X
there are differences between the different kernel versions (obviously)
From memory (and lack of research) rumours go like this: 2.0.x is outdated, 2.2.x has recently been updated (recently as in 2month or so ago) but that seemed to be perceived as a surprise from what i gathered on /. and there were claims it was likely to be the last 2.2.x series kernel. 2.2.x series kernel are generally recommended for older hardware, rather than flash new stuff.
2.4.x series kernel are more beneficial for current hardware, and incorporate alot of features for new stuff, for instance if Hyperthreading support will be found in a linux kernel it will be in a 2.4 series kernel far more likely, than in a 2.2 series kernel (dunno if there is any hyperthreading support as yet though).
2.5 series kernels are development kernels, so they are more likely to be unstable.
In shorth you can run any generation kernel but i don't think all software will be 100% compatible between a 2.2 and a 2.4 series kernel.
My best advice would be, try it, if it doesn't work well after you update the kernel, go back (if the target machine is old, you might want to compile the kernel on a newer machine but giving it backward hardware compatibility, so you don't have to wait a day and some more).
If anyone could shed some more light on this, please do, it isn't something i've looked into too much (heck i could be dead wrong here, though this is what i gathered).
If compiling your own kernel scares the bejesus out of you, pop into the Slackware forum here and have a read of DaOne's post on compiling kernels (it is the sticky post at the top of the forum). He lays out a nice step-by-step method that works.
The one thing you want to do before you do anything else is to make a copy of your current kernel. I copied my good kernel to vmlinuz.good and my System.map to System.good and then I added a new entry to LILO. When you compile a kernel using DaOne's procedure, you current kernel is renamed to vmlinuz.old (which is good). However, if something goes wrong and you compile again, the first bad compile gets renamed to vmlinuz.old and you no longer have a good kernel.
compiling a kernel is really quite straight forward. if you do all the things that need to be done, and don't overwrite you're existing kernel, you'll be right.
Besides you have us if you have a hiccup