Do you have to deal often with the problem of your distro's repositories not having what you need, either because they haven't got an updated version of a program or because the maintainers decided not to offer it? What do you do, just find the source and compile it? Is that the only other thing to do?

I vote for grab the source and compile. Its not too much of a problem usually. Sometimes the latest release doesent work with my distro, then I just google it to find what one does. Dependencies can be a pain in the butt, however the longer you've had your OS the more chance you'll already have the required dependency.

Once in a while you can find a script, but in my ventures they are few and far between.

This is for debian, because it's what I run... If the newest version isn't in the repo I'll get the source... To get dependencies I just do 'apt-get build-dep program-name'...compile and install. I don't know if other distro's have a build-dependency option, but it's handy. Now if the repo just doesn't have the program period... You could A) google for custom repositories (eg wine has it's own repo's, so does mplayer i believe and a couple other popular programs), or B) build from source and manually find the dependencies. That is the downfall of some software... It's just not easy to install.