Why compile it yourself?
The reason I ask is that as far as I know MySQL has a gazillion / ginormous list of customisable compiling settings that tune its performance. IMO any of the "-standard" archives on the MySQL site (which are binary archives, already compiled versions of MySQL) are more than suffiecient for most uses. If you stuff up the settings if you compile it yourself, its possible you might get a slower, less stable MySQL...?
However, if you really want to compile it yourself, simply get any archive that does not have "-standard" in the title... I personally use 4.0.12-stanrdard and I'm more than happy with it. I'm thinking about going to 5, but so far 4.0.12-standard works 100% for us.