For those Linux users who do not wish to use the installer, here's a simple walkthrough for installing the game into your home directory.
You'll want to ensure you have 7-zip installed so that you can unpack the data package. On Debian and its derivates (Ubuntu etc.) you can use:
apt-get update && apt-get install p7zip-full
Then create a new directory the game will be placed in:
cd
mkdir megaglest-3.3.5
cd megaglest-3.3.5
Now you need to download the "Linux XX bit x86 binaries" and the "Full Data package". What XX is depends on the architecture your Liux distribution is optimized for. On Debian and its derivates (Ubuntu etc.) you can use the arch command to determine what you have. If it says x86_64 then you want the 64 bit version of the game, otherwise use the 32 bit version.
For example, to download the 64 bit Linux version:
wget 'http://sourceforge.net/projects/megaglest/files/megaglest_3.3.5/megaglest3.3.5_i386_64_linux_bin.tar.bz2/download'
wget 'http://sourceforge.net/projects/megaglest/files/megaglest_3.3.5/megaglest-data-3.3.5.7z/download'
Now extract the archives (I'm using the 64 bit file names again in this example) in the directory you are in:
7z x megaglest-data-3.3.5.7z
tar xjvf megaglest3.3.5_i386_64_linux_bin.tar.bz2
...and play!
./glest
Next time you want to play, you just need to:
cd ~/megaglest-3.3.5
./glest
You can, of course, also create a shortcut on your favourite window manager so that you just need to point and click to start the game in the future (and need not play around in a terminal window).