In general, Intel graphics driver is well integrated in Linux distributions so users won't worry about the driver setup. It should work out of the box with recent distributions.

For users who want to try newer driver instead of the one shipped in the distribution, they could try the development packages (some bleeding-edge repos built from upstream git), e.g.: which could help users to try the latest driver other than the stable version, e.g.
- Ubuntu's xorg-edger PPA,

- Fedora's Rawhide,

- Novell/SuSE's repo,

- MeeGo's repo.

For users who want to build source from scratch, they could get the source from upstream projects and compile by themselves. This is helpful for finding bugs at early stage and even driving down the fix. But there are also tradeoffs for upgrading from the shipped driver: e.g. if you update the kernel, you lose the kernel security updates from the distribution and some other things may break.
This guide can be taken as reference for building the driver from scratch.