There are many different ways to get Fink. This page will try to explain the various options and their - sometimes confusing - differences. But first, two important things to realize:
Source vs. Binary Packages. A package can come in two forms: source and binary. A binary package is a package archive that contains precompiled, ready-to-run programs. You can immediately use it, it just has be be downloaded and extracted (installed). A source package consist of the original source code, Fink-specific patches and build instructions. Source packages take some time to install because the source code is compiled on your computer to produce executable programs.
All Fink installations are created equal. No matter how you installed Fink, you always have the option to build a specific package from source. Likewise, you always have the option to install downloaded binary packages as long as Fink is installed in /sw. All you have to do is use the appropriate tools and update procedures.
So now, what are the actual options? Here we go, from convenient to cutting edge:
The binary release uses binary packages. It comes with a graphical installer package for first-time installation and a package browser and selection app (dselect). It tracks the last source release; it usually takes some days to catch up when a new source release is made. Occasionally, there are updates between releases. Updating to new releases is automatic - just ask dselect or apt-get to fetch the latest package lists. The downside of the binary release is that not all packages are available as binaries. Some don't meet our quality standards or have technical problems, some can't be distributed due to their restrictive licenses, and some are covered by export restrictions on cryptography.
The source release builds everything from source (unless you choose otherwise) and is driven by command-line scripts. The source release can update itself to the latest release with the 'fink selfupdate' command. The positive side is that you'll get all packages that have been marked as 'stable'. The negative sides have already been mentioned - compiling from source takes time and you must type commands to install packages.
Actual development of the Fink distribution happens in a CVS repository. You can track it to stay on the cutting edge between releases. Usage is equivalent to the source release, only that you'll need to run 'fink selfupdate-cvs' once to tell Fink you want to use the CVS repository to obtain package descriptions. See the CVS instructions for details.