For Gentoo users, an ebuild using subversion checkout is under construction. Have a look at the corresponding forum thread if you are interested.
Arch Linux users can download source packages in AUR and build them using makepkg tool. Alternatively yaourt (or some other AUR-aware pacman frontend) allows to download, build and install the packages automatically.
Every night there is automatic release published topic://uppweb/www/nightly$en-us. Here you can find windows installer (upp-win-NNNN.exe, upp-mingw-NNNN.exe) and source tarball (upp-x11-src-NNNN.tar.gz).
If you are using Ubuntu based GNU/Linux distribution, you can find deb packages (and also dsc source packages) of nightly builds at Launchpad PPA https://launchpad.net/~dolik-rce/+archive/upp-nightly. Recommended way is to add the archive to your sources and install package "upp" using your favorite package manager (e.g. apt-get, aptitude, ...). This will also install Ultimate++ sources, TheIDE and all necessary dependencies. In case you are not familiar with installing software from PPA, you can follow this step-by-step guide.
Note that latest builds are generally considered the most stable. That means that nightly builds are usually more stable than stable releases, because bugfixes are not backported to stable releases.
Stable releases are published at Sourceforge.net. You can download them at http://sourceforge.net/projects/upp/files. In addition to Windows installer and source tarballs, you can also find here rpm packages for Fedora, Mandriva and OpenSUSE.
For Ubuntu users who doesn't want to update every day from nightly PPA, there is stable releases PPA, https://launchpad.net/~dolik-rce/+archive/upp. To install Ultimate++ from this archive, use the same procedure as described for nightly builds, just drop the "-nightly" suffix.
You do not have to pay anything for Ultimate++, even if you are going to use it for development of commercial applications. However, if you like this platform, please consider donating; even small contributions will help fund its continued development.