I'll try to explain.
There are 2 ways of building your kernel: one monolithic kernel with every option build in, or a modular kernel. Also, you can choose between using the auto-module loader, or do everything yourself.
I'd recommend to build a few things as module:
- A lot of your hardware components (floppy / sound / network / loop / serial / usb / video / parallel port) because you can unload and upgrade those modules without rebooting your computer (such as reloading your floppy module, instead of rebooting)
- build all other features in the kernel, such as file systems. (it's faster) But choose only what you need, but don't forget support for ext2/3, vfat, ntfs, iso, udf, samba, and proc.
- Compiling a kernel allows you to make a specific kernel for your hardware. Use that
(and don't compile everything in your kernel) If you doubt between 2 options, you could always compile them as module, in case you might need them.
You should enable "loadable module support", but could disable "kernel module loader". This kernel-feature tries to auto-load a module when a driver is not loaded (which is required by a certain feature). This is really cool, because it allows you to boot with a small kernel, and load features automatically when the kernel needs them.. (or even when you start to use certain hardware)
If you disable the "kernel module loader", you'll have to 'modprobe' all modules manually. Then you'll dictate what modules to use. (slackware has /etc/rc.d/rc.modules for this; but I suggest to rewrite that file
Decide what you want
For servers for example, you might not want a "smart" kernel. A workstation where you can plug-in devices, and make them work instantly is cool on the other hand
(this also requires hotplug) an autoloader is easier, but I have to adjust it sometimes using /etc/modules.conf Personally, I don't like a computer to think for me. That's what made me run away from Windows XP after a year. (I do use the autoloader at this moment, and compiled all usb-drives as modules, because I want to plug-and-play)