Depends on the proggy. Qmail I hassled with once from source, and then found that the .tgz from www.linuxpackages.net
works really well. Similarly upgrading for Slack 8.0 XFree to 4.2 from the packages in slackware-current was a lot easier than even using the compiled binaries version at Xfree86.org.
Little stuff, cdrecord, xmms, grip, all from source.